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3406. Existence and uniqueness of solutions to the Bellman equation in stochastic dynamic programming
Invited abstract in session MB-41: Vector and Set Optimization II, stream Vector and Set Optimization.
Monday, 10:30-12:00Room: 97 (building: 306)
Authors (first author is the speaker)
| 1. | Juan Pablo Rincon-Zapatero
|
| Economia, Universidad Carlos III de Madrid |
Abstract
We obtain new results about the existence and uniqueness of solutions to the Bellman equation of stationary stochastic dynamic optimization problems in discrete time and infinite horizon. We extend previous results for weighted and local contractions, through a generalization of the notion of Banach contraction which is especially well suited for problem where the shock variables are exogenous and/or the discount factor may depend on uncertain events. We apply the results obtained to an endogenous growth model and compare our approach with other well known methods, such as the weighted contraction method, countable local contractions and the Q-transform.
Keywords
- Programming, Dynamic
Status: accepted
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