Necessity of Transversality Conditions for Stochastic Problems

Takashi Kamihigashi

No 128, Discussion Paper Series from Research Institute for Economics & Business Administration, Kobe University

Abstract: This paper shows stochastic versions of (i) Michel's (1990, Econometrica 58, 705--723, Theorem 1) necessity result , (ii) a generalization of the TVC results of Weitzman (1973, Manage. Sci. 19, 783--789) and Ekeland and Scheinkman (1986, Math. Oper. Res. 11, 216--229), and (iii) Kamihigashi's (2001, Econometrica 69, 995--1012, Theorem 3.4) result, which is useful particularly in the case of homogeneous returns. These stochastic extensions are established for an extremely general stochastic reduced-form model that assumes neither differentiability nor continuity.

Keywords: Transversality condition; Stochastic optimization; Stochastic reduced-form model; Homogeneous returns; Stochastic growth model (search for similar items in EconPapers)
JEL-codes: C61 D90 G12 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2002-04
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https://www.rieb.kobe-u.ac.jp/academic/ra/dp/English/dp128.pdf First version, 2002 (application/pdf)

Related works:
Journal Article: Necessity of transversality conditions for stochastic problems (2003)
Working Paper: Necessity of Transversality Conditions for Stochastic Problems (2001)
Working Paper: Necessity of Transversality Conditions for Stochastic Problems (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:kob:dpaper:128

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