Stochastic optimal policies when the discount rate vanishes

Kazuo Nishimura; John Stachurski

doi:10.1016/j.jedc.2006.05.011

Stochastic optimal policies when the discount rate vanishes

Kazuo Nishimura, John Stachurski^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

5 Citations (Scopus)

Abstract

Dutta [1991. What do discounted optima converge to? A theory of discount rate asymptotics in economic models. Journal of Economic Theory 55, 64-94] showed that long-run optimality of the limit of discounted optima when the discount rate vanishes is implied by a certain bound on the value function of the optimal program. We introduce a new method to verify this bound using coupling techniques.

Original language	English
Pages (from-to)	1416-1430
Number of pages	15
Journal	Journal of Economic Dynamics and Control
Volume	31
Issue number	4
DOIs	https://doi.org/10.1016/j.jedc.2006.05.011
Publication status	Published - Apr 2007
Externally published	Yes

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10.1016/j.jedc.2006.05.011

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title = "Stochastic optimal policies when the discount rate vanishes",

abstract = "Dutta [1991. What do discounted optima converge to? A theory of discount rate asymptotics in economic models. Journal of Economic Theory 55, 64-94] showed that long-run optimality of the limit of discounted optima when the discount rate vanishes is implied by a certain bound on the value function of the optimal program. We introduce a new method to verify this bound using coupling techniques.",

keywords = "Dynamic programming, Long-run optimality",

author = "Kazuo Nishimura and John Stachurski",

year = "2007",

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doi = "10.1016/j.jedc.2006.05.011",

language = "English",

volume = "31",

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journal = "Journal of Economic Dynamics and Control",

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T1 - Stochastic optimal policies when the discount rate vanishes

AU - Nishimura, Kazuo

AU - Stachurski, John

PY - 2007/4

Y1 - 2007/4

N2 - Dutta [1991. What do discounted optima converge to? A theory of discount rate asymptotics in economic models. Journal of Economic Theory 55, 64-94] showed that long-run optimality of the limit of discounted optima when the discount rate vanishes is implied by a certain bound on the value function of the optimal program. We introduce a new method to verify this bound using coupling techniques.

AB - Dutta [1991. What do discounted optima converge to? A theory of discount rate asymptotics in economic models. Journal of Economic Theory 55, 64-94] showed that long-run optimality of the limit of discounted optima when the discount rate vanishes is implied by a certain bound on the value function of the optimal program. We introduce a new method to verify this bound using coupling techniques.

KW - Dynamic programming

KW - Long-run optimality

UR - https://www.scopus.com/pages/publications/33847057393

U2 - 10.1016/j.jedc.2006.05.011

DO - 10.1016/j.jedc.2006.05.011

M3 - Article

SN - 0165-1889

VL - 31

SP - 1416

EP - 1430

JO - Journal of Economic Dynamics and Control

JF - Journal of Economic Dynamics and Control

IS - 4

ER -

Stochastic optimal policies when the discount rate vanishes

Abstract

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