Stochastic optimal policies when the discount rate vanishes

DOI10.1016/J.JEDC.2006.05.011MaRDI QIDQ1017044zbMATH OpenOpenAlexFDO

Authors Kazuo Nishimura, John Stachurski

Publication date 18 May 2009

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2433/129531

zbMATH Keywords

dynamic programminglong-run optimality

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Economic growth models (91B62) Optimal stochastic control (93E20)

Recommendations

• What do discounted optima converge to!: A theory of discount rate asymptotics in economic models
• scientific article; zbMATH DE number 4152290
• Persistently optimal policies in stochastic dynamic programming with generalized discounting
• Low discounting and the upper long-run average value in dynamic programming
• scientific article; zbMATH DE number 4029302

Cites work

• A new condition for the existence of optimal stationary policies in average cost Markov decision processes
• A qualitative approach to Markovian equilibrium in infinite horizon economies with capital
• Asymptotic Variance and Convergence Rates of Nearly-Periodic Markov Chain Monte Carlo Algorithms
• scientific article; zbMATH DE number 52448 (Why is no real title available?)
• On optimal growth under uncertainty
• On the optimality equation for average cost Markov control processes with Feller transition probabilities
• Optimal Economic Growth and Uncertainty: The No Discounting Case
• Stability of stochastic optimal growth models: a new approach
• Stochastic Monotonicity and Stationary Distributions for Dynamic Economies
• Stochastic Properties of Fast vs. Slow Growing Economies
• The nonlinear Cournot model under uncertainty with continuously distributed time lags.
• What do discounted optima converge to!: A theory of discount rate asymptotics in economic models

Cited in

(8)

• Zero-sum ergodic semi-Markov games with weakly continuous transition probabilities
• What do discounted optima converge to!: A theory of discount rate asymptotics in economic models
• Sustainable social choice under risk
• On the vanishing discount factor approach for Markov decision processes with weakly continuous transition probabilities
• scientific article; zbMATH DE number 4029302 (Why is no real title available?)
• Constrained Markov decision processes in Borel spaces: from discounted to average optimality
• Optimal policies with heterogeneous agents: truncation and transitions
• The vanishing discount approach to constrained continuous-time controlled Markov chains

This page was built for publication: Stochastic optimal policies when the discount rate vanishes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1017044)