Do not Blame Bellman: It Is Koopmans' Fault.
We provide a unified approach to stochastic dynamic programming with recursive utility based on an elementary application of Tarski's fixed point theorem. We establish that the exclusive source of multiple values is the presence of multiple recursive utilities consistent with the given aggregator, e...
| Publicado en: | Econometrica Vol. 92; no. 1; pp. 111 - 141 |
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| Autores principales: | , , |
| Formato: | Artículo |
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Wiley-Blackwell
Jan2024
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| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=175139730&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 175139730 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 00129682 ECN jtl: Econometrica issn: 00129682 maglogo: Y pubinfo: dt: Jan2024 vid: 92 iid: 1 pid: 480 pub: Wiley-Blackwell artinfo: ui: 175139730 10.3982/ECTA20386 ppf: 111 ppct: 30 formats: tig: atl: Do not Blame Bellman: It Is Koopmans' Fault. aug: au: Bloise, Gaetano Le Van, Cuong Vailakis, Yiannis affil: Department of Economics and Finance, University of Rome II IPAG Business School, Paris School of Economics TIMAS CASED‐DEPOCEN Adam Smith Business School, University of Glasgow su: Dynamic programming Stochastic programming sug: subj: Dynamic programming Stochastic programming keyword: Bellman operator dynamic programming Koopmans operator multiplicity Stochastic recursive utility Bellman operator dynamic programming Koopmans operator multiplicity Stochastic recursive utility ab: We provide a unified approach to stochastic dynamic programming with recursive utility based on an elementary application of Tarski's fixed point theorem. We establish that the exclusive source of multiple values is the presence of multiple recursive utilities consistent with the given aggregator, each yielding a legitimate value of the recursive program. We also present sufficient conditions ensuring a unique value of the recursive program in some circumstances. Overall, acknowledging the unavoidable failure of uniqueness in general, we argue that the greatest fixed point of the Bellman operator should have a privileged position. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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