Stochastic convexity in dynamic programming

被引：7

作者：

Atakan, AE ^{[1
]}

机构：

[1] Columbia Univ, Dept Econ, New York, NY 10027 USA

来源：

ECONOMIC THEORY | 2003年 / 22卷 / 02期

关键词：

dynamic programming; stochastic dominance; concave value function; differentiable value function;

D O I：

10.1007/s00199-002-0307-6

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper explores sufficient conditions for a continuous stationary Markov optimal policy and a concave value function in stochastic dynamic programming problems. Also, the paper addresses conditions needed for the differentiability of the value function. The paper uses conditions such as first order stochastic dominance, second order stochastic dominance and concave stochastic dominance that are widely applied in economics.

引用

页码：447 / 455

页数：9

共 12 条

[1] A new look at optimal growth under uncertainty [J].