Isomorphic Dynamic Programs

John Stachurski and Junnan Zhang

Papers from arXiv.org

Abstract: We study relationships between dynamic programs by applying conjugacy methods from dynamical systems theory. When two dynamic programs are connected by an order isomorphism, we show that optimality properties transmit from one formulation to the other. We apply these results to Epstein--Zin preferences with time preference shocks, obtaining a sharp characterization of when optimality holds. We also show that multiplicative Kreps--Porteus preferences and risk-sensitive preferences are isomorphic, so that well-known results for the latter carry over to the former. Finally, we demonstrate how isomorphic transformations can improve the numerical accuracy of value function approximations, with gains of two orders of magnitude in a multisector real business cycle model.

Date: 2026-05
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2605.22076 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2605.22076

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().