Convex dynamic programming with (bounded) recursive utility

• 成果类型: Article
• 署名作者: Bloise, Gaetano; Vailakis, Yiannis
• 署名单位: Yeshiva University; University of Glasgow
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2017.10.008
• 发表日期: 2018
• 页码: 118-141
• 关键词: Recursive utility; Thompson aggregator; Bellman operator

摘要

We consider convex dynamic programs with general (bounded) recursive utilities. The Contraction Mapping Theorem fails when the utility aggregator does not obey any discounting property. This failure occurs even with traditional aggregators and certainty equivalent specifications. However, the Bellman operator admits a unique fixed point when an interior policy is feasible. This happens because utility values are unique at interior consumption plans and, when an interior perturbation is feasible, drops in utility values can be avoided. (C) 2017 Elsevier Inc. All rights reserved.