Necessity of transversality conditions for stochastic problems.
From MaRDI portal
Publication:1810700
DOI10.1016/S0022-0531(02)00038-8zbMath1137.91559MaRDI QIDQ1810700
Publication date: 9 June 2003
Published in: Journal of Economic Theory (Search for Journal in Brave)
Stochastic optimizationmodelStochastic growth modelHomogeneous returnsStochastic reduced-formTransversality condition
Related Items
Propensity to consume and the optimality of Ramsey-Euler policies ⋮ A simple optimality-based no-bubble theorem for deterministic sequential economies with strictly monotone preferences ⋮ The fiscal theory of the price level in a world of low interest rates ⋮ A nonsmooth, nonconvex model of optimal growth ⋮ Optimality of Ramsey-Euler policy in the stochastic growth model ⋮ A generalization of Fatou's lemma for extended real-valued functions on \(\sigma\)-finite measure spaces: with an application to infinite-horizon optimization in discrete time ⋮ Necessity of the transversality condition for stochastic models with bounded or CRRA utility ⋮ Liquidity traps and expectation dynamics: fiscal stimulus or fiscal austerity? ⋮ Bank management via stochastic optimal control ⋮ Subprime mortgage funding and liquidity risk
Cites Work
- Characterization by prices of optimal programs under uncertainty
- A simple proof of the necessity of the transversality condition
- A simple proof of Ekeland and Scheinkman's result on the necessity of a transversality condition
- Some Clarifications on the Transversality Condition
- Transversality Conditions for Some Infinite Horizon Discrete Time Optimization Problems
- Transversality Condition in a Multi-Sector Economy under Uncertainty
- Necessity of Transversality Conditions for Infinite Horizon Problems
- On Existence of Weakly Maximal Programmes in a Multi-Sector Economy
- Duality Theory for Infinite Horizon Convex Models
This page was built for publication: Necessity of transversality conditions for stochastic problems.
