Existence and Uniqueness of Solutions to the Bellman Equation in the Unbounded Case.
We study the problem of the existence and uniqueness of solutions to the Bellman equation in the presence of unbounded returns. We introduce a new approach based both on consideration of a metric on the space of all continuous functions over the state space, and on the application of some metric fix...
| Publicado en: | Econometrica Vol. 71; no. 5; pp. 1519 - 1556 |
|---|---|
| Autores principales: | , |
| Formato: | Artículo |
| Publicado: |
Wiley-Blackwell
September 2003
|
| Materias: | |
| 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=513148021&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 513148021 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 00129682 ECN jtl: Econometrica issn: 00129682 maglogo: N pubinfo: dt: September 2003 vid: 71 iid: 5 pid: 480 pub: Wiley-Blackwell artinfo: ui: 513148021 10.1111/1468-0262.00457 ppf: 1519 ppct: 37 formats: tig: atl: Existence and Uniqueness of Solutions to the Bellman Equation in the Unbounded Case. aug: au: Rincón-Zapatero, Juan Pablo Rodríguez-Palmero, Carlos su: Dynamic programming Nonlinear programming sug: subj: Dynamic programming Nonlinear programming ab: We study the problem of the existence and uniqueness of solutions to the Bellman equation in the presence of unbounded returns. We introduce a new approach based both on consideration of a metric on the space of all continuous functions over the state space, and on the application of some metric fixed point theorems. With appropriate conditions we prove uniqueness of solutions with respect to the whole space of continuous functions. Furthermore, the paper provides new sufficient conditions for the existence of solutions that can be applied to fairly general models. It is also proven that the fixed point coincides with the value function and that it can be approached by successive iterations of the Bellman operator. Reprinted by permission of the publisher. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
|---|