On discounted dynamic programming with unbounded returns (Q2431099): Difference between revisions
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Revision as of 23:33, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On discounted dynamic programming with unbounded returns |
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On discounted dynamic programming with unbounded returns (English)
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8 April 2011
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The paper starts with a very good survey of the literature on Markov decision processes and related problems. The authors apply the idea of k-local contraction of \textit{J. P. Rincón-Zapatero} and \textit{C. Rodriguez-Palmero} [Econometrica 71, No. 5, 1519--1555 (2003; Zbl 1154.49303); Econ. Theory 33, No. 2, 381--391 (2007; Zbl 1180.91128)] to study discounted stochastic programming models with unbounded returns. The main results concern the existence of a unique solution to the Bellman equation that are applied to the theory of stochastic optimal growth. Also a discussion of some subtle issues concerning k-local and global contractions is included.
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stochastic dynamic programming
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Bellman functional equation
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contraction mapping
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stochastic optimal growth
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