Stochastic convexity in dynamic programming

Alp Atakan

Economic Theory, 2003, vol. 22, issue 2, 447-455

Abstract: This paper explores sufficient conditions for a continuous stationary Markov optimal policy and a concave value function in stochastic dynamic programming problems. Also, the paper addresses conditions needed for the differentiability of the value function. The paper uses conditions such as first order stochastic dominance, second order stochastic dominance and concave stochastic dominance that are widely applied in economics. Copyright Springer-Verlag Berlin Heidelberg 2003

Keywords: Keywords and Phrases:Dynamic programming; Stochastic dominance; Concave value function; Differentiable value function.; JEL Classification Numbers:C61; O41; D80; D90. (search for similar items in EconPapers)
Date: 2003
References: Add references at CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:spr:joecth:v:22:y:2003:i:2:p:447-455

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DOI: 10.1007/s00199-002-0307-6

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