메뉴 건너뛰기




Volumn 21, Issue 2-3, 1997, Pages 505-523

Recursive utility, martingales, and the asymptotic behaviour of optimal processes

Author keywords

Asymptotics; Euler equations; Growth; Martingales; Stochastic

Indexed keywords


EID: 0031068515     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0165-1889(96)00942-6     Document Type: Article
Times cited : (1)

References (21)
  • 1
    • 0000844139 scopus 로고
    • One-sector nonclassical optimal growth: Optimality conditions and comparative dynamics
    • Amir, R., L.J. Mirman, and W.R. Perkins, 1991, One-sector nonclassical optimal growth: Optimality conditions and comparative dynamics, International Economic Review 32, 625-644.
    • (1991) International Economic Review , vol.32 , pp. 625-644
    • Amir, R.1    Mirman, L.J.2    Perkins, W.R.3
  • 2
    • 0010877830 scopus 로고
    • Recursive utility: Discrete time theory
    • Becker, R.A. and J.H. Boyd, 1990, Recursive utility: Discrete time theory, Cuadernos Economicos de Ice 46(3), 103-160.
    • (1990) Cuadernos Economicos de Ice , vol.46 , Issue.3 , pp. 103-160
    • Becker, R.A.1    Boyd, J.H.2
  • 4
    • 0000403144 scopus 로고
    • Recursive utility and the Ramsey problem
    • Boyd, J.H., 1990, Recursive utility and the Ramsey problem, Journal of Economic Theory 50, 326-345.
    • (1990) Journal of Economic Theory , vol.50 , pp. 326-345
    • Boyd, J.H.1
  • 5
    • 0000007318 scopus 로고
    • Global asymptotic stability results for multisector models of optimal growth under uncertainty when future utilities are discounted
    • Brock, W.A. and M. Majumdar, 1978, Global asymptotic stability results for multisector models of optimal growth under uncertainty when future utilities are discounted, Journal of Economic Theory 18, 225-243.
    • (1978) Journal of Economic Theory , vol.18 , pp. 225-243
    • Brock, W.A.1    Majumdar, M.2
  • 6
    • 0001335044 scopus 로고
    • A note on the stochastic value loss assumption
    • Chang, F.R., 1982, A note on the stochastic value loss assumption, Journal of Economic Theory 26, 164-170.
    • (1982) Journal of Economic Theory , vol.26 , pp. 164-170
    • Chang, F.R.1
  • 8
    • 48749148584 scopus 로고
    • A complete characterization of optimal growth paths in an aggregated model with a nonconcave production function
    • Dechert, W.D. and K. Nishimura, 1983, A complete characterization of optimal growth paths in an aggregated model with a nonconcave production function, Journal of Economic Theory 31, 332-354.
    • (1983) Journal of Economic Theory , vol.31 , pp. 332-354
    • Dechert, W.D.1    Nishimura, K.2
  • 10
    • 0000842941 scopus 로고
    • Substitution, risk aversion and the temporal behaviour of asset returns, I: A theoretical framework
    • Epstein, L.G. and S. Zin, 1989, Substitution, risk aversion and the temporal behaviour of asset returns, I: A theoretical framework, Econometrica 57, 937-969.
    • (1989) Econometrica , vol.57 , pp. 937-969
    • Epstein, L.G.1    Zin, S.2
  • 11
    • 0000391423 scopus 로고
    • On the asymptotic behaviour of stochastic economic processes
    • Föllmer, H. and M. Majumdar, 1978, On the asymptotic behaviour of stochastic economic processes, Journal of Mathematical Economics 5, 275-287.
    • (1978) Journal of Mathematical Economics , vol.5 , pp. 275-287
    • Föllmer, H.1    Majumdar, M.2
  • 12
    • 0001210726 scopus 로고
    • Stochastic monotonicity and stationary distributions for dynamic economies
    • Hopehayn, H.H and E.C. Prescott, 1992, Stochastic monotonicity and stationary distributions for dynamic economies, Econometrica 60, 1387-1406.
    • (1992) Econometrica , vol.60 , pp. 1387-1406
    • Hopehayn, H.H.1    Prescott, E.C.2
  • 13
    • 0001072531 scopus 로고
    • Temporal resolution of uncertainty and dynamic choice theory
    • Kreps, D.M. and E.L. Porteus, 1978, Temporal resolution of uncertainty and dynamic choice theory, Econometrica 46, 185-200.
    • (1978) Econometrica , vol.46 , pp. 185-200
    • Kreps, D.M.1    Porteus, E.L.2
  • 14
    • 0000574939 scopus 로고
    • Intertemporal allocation with a nonconvex technology: The aggregative framework
    • Majumdar, M. and T. Mitra, 1982, Intertemporal allocation with a nonconvex technology: The aggregative framework, Journal of Economic Theory 27, 101-136.
    • (1982) Journal of Economic Theory , vol.27 , pp. 101-136
    • Majumdar, M.1    Mitra, T.2
  • 15
    • 0000056534 scopus 로고
    • On the existence of optimal processes in nonstationary environments
    • Mitra, T. and Y. Nyarko, 1991, On the existence of optimal processes in nonstationary environments, Journal of Economics 53, 245-270.
    • (1991) Journal of Economics , vol.53 , pp. 245-270
    • Mitra, T.1    Nyarko, Y.2
  • 16
    • 0010928030 scopus 로고
    • On optimal economic growth with changing technology and tastes: Characterization and stability results
    • Mitra, T. and I. Zilcha, 1981, On optimal economic growth with changing technology and tastes: Characterization and stability results, International Economic Review 22, 221-237.
    • (1981) International Economic Review , vol.22 , pp. 221-237
    • Mitra, T.1    Zilcha, I.2
  • 17
    • 38249034133 scopus 로고
    • Optimal growth in a stochastic environment: Some sensitivity and turnpike results
    • Majumdar, M. and I. Zilcha, 1987, Optimal growth in a stochastic environment: Some sensitivity and turnpike results, Journal of Economic Theory 43, 116-133.
    • (1987) Journal of Economic Theory , vol.43 , pp. 116-133
    • Majumdar, M.1    Zilcha, I.2
  • 18
    • 0003319631 scopus 로고
    • Dynamic optimization under uncertainty: Nonconvex feasible set
    • G.R. Feiwel, ed., Macmillan, London
    • Majumdar, M., T. Mitra, and Y. Nyarko, 1989, Dynamic optimization under uncertainty: Nonconvex feasible set, in: G.R. Feiwel, ed., Joan Robinson and modern economic theory (Macmillan, London).
    • (1989) Joan Robinson and Modern Economic Theory
    • Majumdar, M.1    Mitra, T.2    Nyarko, Y.3
  • 20
    • 0002455023 scopus 로고
    • Stationary recursive utility and dynamic programming under the assumption of biconvergence
    • Streufert, P.A., 1990, Stationary recursive utility and dynamic programming under the assumption of biconvergence, Review of Economic Studies 57, 79-97.
    • (1990) Review of Economic Studies , vol.57 , pp. 79-97
    • Streufert, P.A.1
  • 21
    • 0000348040 scopus 로고
    • Minimizing a submodular function on a lattice
    • Topkis, D.M., 1978, Minimizing a submodular function on a lattice, Operations Research 26, 305-321.
    • (1978) Operations Research , vol.26 , pp. 305-321
    • Topkis, D.M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.