Necessity of transversality conditions for stochastic problems

被引：16

作者：

Kamihigashi, T ^{[1
]}

机构：

[1] Kobe Univ, RIEB, Nada Ku, Kobe, Hyogo 6578501, Japan

来源：

JOURNAL OF ECONOMIC THEORY | 2003年 / 109卷 / 01期

关键词：

transversality condition; stochastic optimization; stochastic reduced-form model; homogeneous returns; stochastic growth model;

D O I：

10.1016/S0022-0531(02)00038-8

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper shows stochastic versions of (i) Michel's (Econometrica 58 (1990) 705, Theorem 1) necessity result, (ii) a generalization of the TVC results of Weitzman (Management Sci, 19 (1973) 783) and Ekeland and Scheinkman (Math. Oper. Res. 11 (1986) 216), and (iii) Kamihigashi's (Econometrica 69 (2001) 995, 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. (C) 2003 Elsevier Science (USA). All rights reserved.

引用

页码：140 / 149

页数：10

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