Discounting Long Run Average Growth in Stochastic Dynamic Programs

Jorge Durán

No 2000006, LIDAM Discussion Papers IRES from Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)

Abstract: Finding solutions to the Bellman equation relies on restrictive boundedness assumptions. The literature on endogenous growth or business cycle models with unbounded random shocks provide with numerous examples of recursive programs in which returns are not bounded along feasible paths. In this paper we develop a method of proof that allows to account for models of this type. In applications our assumptions only imply that long run average (expected) growth is sufficiently discounted, in sharp contrast with classical assumptions either absolutely bounding growth or bounding each period (instead of long run) maximum (instead of average) growth. We discuss our work in relation to the literature and provide several examples.

Keywords: Dynamic programming; Weighted norms; Contraction mappings; Dominated convergence; Non additive recursive functions (search for similar items in EconPapers)
JEL-codes: C61 (search for similar items in EconPapers)
Pages: 22
Date: 2000-02-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://sites.uclouvain.be/econ/DP/IRES/2000-6.pdf (application/pdf)

Related works:
Journal Article: Discounting long run average growth in stochastic dynamic programs (2003)
Working Paper: DISCOUNTING LONG RUN AVERAGE GROWTH IN STOCHASTIC DYNAMIC PROGRAMS (2002)
Working Paper: Discounting long run average growth in stochastic dynamic programs (2001)
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:ctl:louvir:2000006

Access Statistics for this paper

More papers in LIDAM Discussion Papers IRES from Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Place Montesquieu 3, 1348 Louvain-la-Neuve (Belgium). Contact information at EDIRC.
Bibliographic data for series maintained by Virginie LEBLANC ().