Advanced Search
MyIDEAS: Login

Transversality Conditions for Stochastic Higher-Order Optimality: Continuous and Discrete Time Problems

Contents:

Author Info

  • Dapeng Cai
  • Takashi Gyoshin Nitta

Abstract

Higher-order optimization problems naturally appear when investigating the effects of a patent with finite length, as in the pioneering work of Futagami and Iwaisako (2007). In this paper, we establish the Euler equations and transversality conditions necessary for analyzing such higher-order optimization problems. We develop our results for stochastic general reduced-form models and consider cases of both continuous and discrete time. We employ our results to establish the Euler equations and transversality conditions for the simplified household maximization problem in Futagami and Iwaisako (2007).

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://arxiv.org/pdf/1203.3869
File Function: Latest version
Download Restriction: no

Bibliographic Info

Paper provided by arXiv.org in its series Papers with number 1203.3869.

as in new window
Length:
Date of creation: Mar 2012
Date of revision:
Handle: RePEc:arx:papers:1203.3869

Contact details of provider:
Web page: http://arxiv.org/

Related research

Keywords:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Takashi Kamihigashi, 2002. "Necessity of Transversality Conditions for Stochastic Problems," Discussion Paper Series 128, Research Institute for Economics & Business Administration, Kobe University.
  2. Futagami, Koichi & Iwaisako, Tatsuro, 2007. "Dynamic analysis of patent policy in an endogenous growth model," Journal of Economic Theory, Elsevier, vol. 132(1), pages 306-334, January.
  3. Takashi Kamihigashi, 2001. "A Simple Proof of the Necessity of the Transversality Condition," Discussion Paper Series 116, Research Institute for Economics & Business Administration, Kobe University.
  4. Takashi Kamihigashi, 2000. "A simple proof of Ekeland and Scheinkman's result on the necessity of a transversality condition," Economic Theory, Springer, vol. 15(2), pages 463-468.
  5. Michel, Philippe, 1990. "Some Clarifications on the Transversality Condition," Econometrica, Econometric Society, vol. 58(3), pages 705-23, May.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:arx:papers:1203.3869. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.