Necessity of transversality conditions for stochastic problems

• 成果类型: Article
• 署名作者: Kamihigashi, T
• 署名单位: Kobe University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/S0022-0531(02)00038-8
• 发表日期: 2003
• 页码: 140-149
• 关键词: transversality condition; stochastic optimization; stochastic reduced-form model; homogeneous returns; stochastic growth model

摘要

This paper shows stochastic versions of (i) Michel's (Econometrica 58 (1990) 705, Theorem 1) necessity result, (ii) a generalization of the TVC results of Weitzman (Management Sci, 19 (1973) 783) and Ekeland and Scheinkman (Math. Oper. Res. 11 (1986) 216), and (iii) Kamihigashi's (Econometrica 69 (2001) 995, Theorem 3.4) result, which is useful particularly in the case of homogeneous returns. These stochastic extensions are established for an extremely general stochastic reduced-form model that assumes neither differentiability nor continuity. (C) 2003 Elsevier Science (USA). All rights reserved.