Dynamic programming for non-additive stochastic objectives

DOI10.1016/0304-4068(95)00737-7zbMath0870.90038OpenAlexW2037020559MaRDI QIDQ2563820

Hiroyuki Ozaki, Peter A. Streufert

Publication date: 16 December 1996

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://ir.lib.uwo.ca/economicsresrpt/436

zbMATH Keywords

dynamic programmingmean growthinfinite asymptotic impatiencenon-additive stochastic objectives

Mathematics Subject Classification ID

Dynamic programming (90C39) Economic growth models (91B62) Stochastic systems in control theory (general) (93E03)

Related Items

Weak convergence of nonadditive measures based on nonlinear integral functionals ⋮ An approximation approach to dynamic programming with unbounded returns ⋮ Convex dynamic programming with (bounded) recursive utility ⋮ Stochastic optimal growth model with risk sensitive preferences ⋮ On recursive utilities with non-affine aggregator and conditional certainty equivalent ⋮ Unique solutions for stochastic recursive utilities ⋮ Incomplete market dynamics and cross-sectional distributions ⋮ UNCERTAINTY AVERSION AND PORTFOLIO INERTIA ⋮ Stochastic dynamic programming with non-linear discounting ⋮ Search and Knightian uncertainty ⋮ Conditional decision processes with recursive function ⋮ Dynamic programming for non-additive stochastic objectives ⋮ The dynamics of risk-sensitive allocations

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