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Existence and uniqueness of solutions to the Bellman equation in stochastic dynamic programming

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorRincón-Zapatero, Juan Pablo
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Economíaes
dc.date.accessioned2022-06-29T17:01:41Z
dc.date.available2022-06-29T17:01:41Z
dc.date.issued2022-06-29
dc.description.abstractIn this paper we develop a general framework to analyze stochastic dynamic optimization problems in discrete time. We obtain new results of the existence and uniqueness of solutions to the Bellman equation through a general xed point theorem that generalizes known results for Banach contractions and local contractions. We study an endogenous growth model as well as the Lucas asset pricing model in an exchange economy, signicantly expanding their range of applicability.en
dc.identifier.issn2340-5031
dc.identifier.urihttps://hdl.handle.net/10016/35342
dc.identifier.uxxiDT/0000002005es
dc.language.isoengen
dc.relation.ispartofseriesWorking paper. Economicsen
dc.relation.ispartofseries22-07
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.subject.ecienciaEconomíaes
dc.subject.otherStochastic Dynamic Programmingen
dc.subject.otherContraction Mappingen
dc.subject.otherBellman Equationen
dc.subject.otherValue Functionen
dc.subject.otherEndogenous Growthen
dc.subject.otherAsset Pricing Modelen
dc.titleExistence and uniqueness of solutions to the Bellman equation in stochastic dynamic programmingen
dc.typeworking paper*
dspace.entity.typePublication
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