Necessity of transversality conditions for stochastic problems.

DOI10.1016/S0022-0531(02)00038-8MaRDI QIDQ1810700zbMATH OpenFDO

Authors Takashi Kamihigashi

Publication date 9 June 2003

Published in Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0022-0531(02)00038-8

zbMATH Keywords

Homogeneous returnsmodelStochastic growth modelStochastic optimizationStochastic reduced-formTransversality condition

Mathematics Subject Classification ID

Economic growth models (91B62) Stochastic models in economics (91B70)

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Cites work

• A simple proof of Ekeland and Scheinkman's result on the necessity of a transversality condition
• A simple proof of the necessity of the transversality condition
• Characterization by prices of optimal programs under uncertainty
• Duality Theory for Infinite Horizon Convex Models
• Necessity of Transversality Conditions for Infinite Horizon Problems
• On Existence of Weakly Maximal Programmes in a Multi-Sector Economy
• Some Clarifications on the Transversality Condition
• Transversality Condition in a Multi-Sector Economy under Uncertainty
• Transversality Conditions for Some Infinite Horizon Discrete Time Optimization Problems

Cited in

(11)

• 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
• Optimality of Ramsey-Euler policy in the stochastic growth model
• A simple proof of the necessity of the transversality condition
• Liquidity traps and expectation dynamics: fiscal stimulus or fiscal austerity?
• Propensity to consume and the optimality of Ramsey-Euler policies
• Bank management via stochastic optimal control
• Subprime mortgage funding and liquidity risk
• 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
• A nonsmooth, nonconvex model of optimal growth
• Necessity of the transversality condition for stochastic models with bounded or CRRA utility

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