Rationalizing policy functions by dynamic optimization

• 成果类型: Article
• 署名作者: Mitra, T; Sorger, G
• 署名单位: Cornell University; University of Vienna
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.1111/1468-0262.00023
• 发表日期: 1999
• 页码: 375-392
• 关键词: OPTIMAL-GROWTH PATHS; PERIOD-3 CYCLES; models

摘要

We derive necessary and sufficient conditions for a pair of functions to be: the optimal policy function and the optimal value function of a dynamic maximization problem with convex constraints and concave objective functional. It is shown that every Lipschitz continuous function can be the solution of such a problem. If the maintained assumptions include free disposal and monotonicity, then we obtain a complete characterization of all optimal policy and optimal value functions. This is the case, e.g., in the standard aggregative optimal growth model.