On discounted dynamic programming with unbounded returns |
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| Authors: | Janusz Matkowski Andrzej S Nowak |
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| Institution: | 1.Faculty of Mathematics, Computer Science and Econometrics,University of Zielona Góra,Zielona Góra,Poland;2.Institute of Mathematics,Silesian University,Katowice,Poland;3.Institute of Finance, PWSZ,Nysa,Poland |
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| Abstract: | In this paper, we apply the idea of k-local contraction of Rincón-Zapatero and Rodriguez-Palmero (Econometrica 71:1519–1555, 2003; Econ Theory 33:381–391, 2007)
to study discounted stochastic dynamic programming models with unbounded returns. Our main results concern the existence of
a unique solution to the Bellman equation and 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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