Do not Blame Bellman: It Is Koopmans' Fault

Gaetano Bloise, Cuong Le Van and Yiannis Vailakis
Additional contact information
Gaetano Bloise: University of Rome II
Cuong Le Van: IPAG Business School, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement
Yiannis Vailakis: University of Glasgow

Post-Print from HAL

Abstract: We provide a unified approach to stochastic dynamic programming with recursive utility based on an elementary application of Tarski's fixed point theorem. We establish that the exclusive source of multiple values is the presence of multiple recursive utilities consistent with the given aggregator, each yielding a legitimate value of the recursive program. We also present sufficient conditions ensuring a unique value of the recursive program in some circumstances. Overall, acknowledging the unavoidable failure of uniqueness in general, we argue that the greatest fixed point of the Bellman operator should have a privileged position.

Date: 2024-01
References: Add references at CitEc
Citations:

Published in Econometrica, 2024, 92 (1), pp.111-140. ⟨10.3982/ECTA20386⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:hal:journl:halshs-04928565

DOI: 10.3982/ECTA20386

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().