Martingale conditions for optimal saving: discrete time

Lucien Foldes

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: Necessary and sufficient conditions are derived for optimal saving in a stochastic neo-classical one-good world with discrete time. The usual technique of dynamic programming is replaced by classical variational and concavity arguments, modified to take account of conditions of measurability which represent the planner's information structure. Familiar conditions of optimality are thus extended to amit production risks represented by quite general random processes - no i.i.d.r.v.s., stationarity or Markov dependence are assumed - while utility and length of life also may be taken as random. It is found that the 'Euler' conditions may be interpreted as martingale properties of shadow prices.

JEL-codes: D81 D90 E31 O41 (search for similar items in EconPapers)
Date: 1978-03
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Published in Journal of Mathematical Economics, March, 1978, 5(1), pp. 83-96. ISSN: 0304-4068

Downloads: (external link)
http://eprints.lse.ac.uk/3231/ Open access 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:ehl:lserod:3231

Access Statistics for this paper

More papers in LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library LSE Library Portugal Street London, WC2A 2HD, U.K.. Contact information at EDIRC.
Bibliographic data for series maintained by LSERO Manager ().