Some notes on discount factor restrictions for dynamic optimization problems
AbstractWe consider dynamic optimization problems on one-dimensional state spaces. Under standard smoothness and convexity assumptions, the optimal solutions are characterized by an optimal policy function h mapping the state space into itself. There exists an extensive literature on the relation between the size of the discount factor of the dynamic optimization problem on the one hand and the properties of the dynamical system xt+1=h(xt) on the other hand. The purpose of this paper is to survey some of the most important contributions of this literature and to modify or improve them in various directions. We deal in particular with the topological entropy of the dynamical system, with its Lyapunov exponents, and with its periodic orbits.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Mathematical Economics.
Volume (Year): 45 (2009)
Issue (Month): 7-8 (July)
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Web page: http://www.elsevier.com/locate/jmateco
Dynamic optimization Discounting Topological entropy Lyapunov exponents Periodic orbits;
Other versions of this item:
- Gerhard Sorger, 2008. "some notes on discount factor restrictions for dynamic optimization problems," Vienna Economics Papers 0805, University of Vienna, Department of Economics.
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- O41 - Economic Development, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - One, Two, and Multisector Growth Models
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