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Existence Results and Finite Horizon Approximates for Infinite Horizon Optimization Problems

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  • Flam, Sjur D
  • Wets, Roger J-B

Abstract

Existence is obtained under a growth condition on paths that are asymptotic to turnpikes whose growth rate equals or exceeds that of the discount rate. Finite horizon approximates, that are computationally tractable, are used t o obtain solutions that yield lower and upper bounds for the optimal value. The technique used is that of epi-convergence. The lower bound estimates come from smoothing out of the tails of the trajectories, and the upper bound estimates from trajectories that are tail station ary. Copyright 1987 by The Econometric Society.

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  • Flam, Sjur D & Wets, Roger J-B, 1987. "Existence Results and Finite Horizon Approximates for Infinite Horizon Optimization Problems," Econometrica, Econometric Society, vol. 55(5), pages 1187-1209, September.
    • Handle: RePEc:ecm:emetrp:v:55:y:1987:i:5:p:1187-1209
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    Cited by:

    1. Amir, Rabah, 1996. "Sensitivity analysis of multisector optimal economic dynamics," Journal of Mathematical Economics, Elsevier, vol. 25(1), pages 123-141.
    2. Daniel Kuhn, 2009. "An Information-Based Approximation Scheme for Stochastic Optimization Problems in Continuous Time," Mathematics of Operations Research, INFORMS, vol. 34(2), pages 428-444, May.
    3. Charalambos Aliprantis & Kim Border & Owen Burkinshaw, 1996. "Market economies with many commodities," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 19(1), pages 113-185, March.
    4. Fehle, Frank & Tsyplakov, Sergey, 2005. "Dynamic risk management: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 78(1), pages 3-47, October.
    5. Alemdar, Nedim M. & Sirakaya, Sibel & Husseinov, Farhad, 2006. "Optimal time aggregation of infinite horizon control problems," Journal of Economic Dynamics and Control, Elsevier, vol. 30(4), pages 569-593, April.
    6. Tsyplakov, Sergey, 2008. "Investment frictions and leverage dynamics," Journal of Financial Economics, Elsevier, vol. 89(3), pages 423-443, September.
    7. De Mello, L. Jr., 1995. "Vintage capital accumulation: Endogenous growth conditions," Journal of Macroeconomics, Elsevier, vol. 17(4), pages 703-716.
    8. L.A. Korf, 1998. "Insurer's Portfolios of Risks: Approximating Infinite Horizon Stochastic Dynamic Optimization Problems," Working Papers ir98061, International Institute for Applied Systems Analysis.
    9. Rustichini, Aldo, 1998. "Dynamic Programming Solution of Incentive Constrained Problems," Journal of Economic Theory, Elsevier, vol. 78(2), pages 329-354, February.

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