Stochastic convexity in dynamic programming

Economic Theory

Volumn 22, Issue 2, 2003, Pages 447-455

  Atakan, Alp E ^a  

^a Columbia University ^*  (United States)

Author keywords

Concave value function; Differentiable value function; Dynamic programming; Stochastic dominance

Indexed keywords

EID: 0041975027     PISSN: 09382259     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00199-002-0307-6     Document Type: Article

References (12)

1. Amir, R.: A new look at optimal growth under uncertainty. Journal of Economic Dynamics and Control 22, 67-86 (1997)
2. Benveniste, L. M., Scheinkman, J. A.: On the differentiability of the value function in dynamic models of economics. Econometrica 47, 727-732 (1979)
3. Blackwell, D.: Discounted dynamic programming. Annals of Mathematical Statistics 36, 226-235 (1965)
4. Burdett, K., Mortensen, D.: Search, layoffs and labor market equilibrium. Journal of Political Economy 88, 652-672 (1980)
5. Dutta, P., Majumdar, M., Sundaram, R.: Parametric continuity in dynamic programming problems. Journal of Economic Dynamics and Control 18, 1069-1092 (1994)
6. Folland, G.: Real analysis: modern techniques and their applications. New York: Wiley 1999
7. Furukawa, N.: Markovian decision processes with compact action spaces. Annals of Mathematical Statistics 43, 1612-1622(1972)
8. Maitra, A.: Dynamic programming for compact metricspaces. Sankhya Series A 30, 211-216 (1968)
9. Micheal Rothschild and Joseph Stiglitz. Increasing risk: I. a definition. Journal of Economic Theory 2, 225-243 (1970)
10. Rothschild, M., Stiglitz, J.: Increasing risk: Ii. its economic consequences. Journal of Economic Theory 3, 66-84 (1971)
11. Shaked, M., Shanthikumar, G.: Stochastic orders and their applications. New York: Academic Press 1994
12. Stokey, N., Lucas, R., Prescott, E.: Recursive methods in economic dynamics. Cambridge, MA: Harvard University Press 1989