Convex dynamic programming with (bounded) recursive utility

被引：15

作者：

Bloise, Gaetano ^{[1
]}

Vailakis, Yiannis ^{[2
]}

机构：

[1] Yeshiva Univ, Dept Econ, New York, NY 10033 USA

[2] Univ Glasgow, Adam Smith Business Sch, Glasgow, Lanark, Scotland

来源：

JOURNAL OF ECONOMIC THEORY | 2018年 / 173卷

关键词：

Recursive utility; Thompson aggregator; Bellman operator; OPTIMAL-GROWTH; BELLMAN EQUATION; UNIQUENESS; EXISTENCE; RETURNS;

D O I：

10.1016/j.jet.2017.10.008

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We consider convex dynamic programs with general (bounded) recursive utilities. The Contraction Mapping Theorem fails when the utility aggregator does not obey any discounting property. This failure occurs even with traditional aggregators and certainty equivalent specifications. However, the Bellman operator admits a unique fixed point when an interior policy is feasible. This happens because utility values are unique at interior consumption plans and, when an interior perturbation is feasible, drops in utility values can be avoided. (C) 2017 Elsevier Inc. All rights reserved.

引用

页码：118 / 141

页数：24

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