Optimal development programs under uncertainty: The undiscounted case |
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Authors: | Patrick Jeanjean |
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Affiliation: | Université Paris-IX Dauphine, Place du Maréchal de Lattre de Tassigny, Paris 16, France |
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Abstract: | One considers a many-commodity world where technology depends on an exogenous environment whose successive states form a stationary Markov process. A program is optimal if it overtakes any other program or has the maximum expected utility.It is shown there exists a best stationary program. One proves then there exists an optimal program, which converges asymptotically to the best stationary program, and is generated by a policy such that, at every date, a nonrandom production decision is chosen which depends only on the state of the world and of the economy at that time. |
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