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Stochastic optimal policies when the discount rate vanishes

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  • Nishimura, Kazuo
  • Stachurski, John

Abstract

Dutta (J. Econom. Theory, 1991, 55, 64?94) showed that long-run optimality of the limit of discounted optima when the discount rate vanishes is implied by a certain bound on the value function of the optimal program. We introduce a new method to verify this bound using coupling techniques.
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  • Nishimura, Kazuo & Stachurski, John, 2007. "Stochastic optimal policies when the discount rate vanishes," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1416-1430, April.
  • Handle: RePEc:eee:dyncon:v:31:y:2007:i:4:p:1416-1430
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    References listed on IDEAS

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    1. Hopenhayn, Hugo A & Prescott, Edward C, 1992. "Stochastic Monotonicity and Stationary Distributions for Dynamic Economies," Econometrica, Econometric Society, vol. 60(6), pages 1387-1406, November.
    2. Mirman, Leonard J. & Zilcha, Itzhak, 1975. "On optimal growth under uncertainty," Journal of Economic Theory, Elsevier, vol. 11(3), pages 329-339, December.
    3. Dutta, Prajit K., 1991. "What do discounted optima converge to?: A theory of discount rate asymptotics in economic models," Journal of Economic Theory, Elsevier, vol. 55(1), pages 64-94, October.
    4. Mirman, Leonard J. & Morand, Olivier F. & Reffett, Kevin L., 2008. "A qualitative approach to Markovian equilibrium in infinite horizon economies with capital," Journal of Economic Theory, Elsevier, vol. 139(1), pages 75-98, March.
    5. Rosenthal J.S., 2003. "Asymptotic Variance and Convergence Rates of Nearly-Periodic Markov Chain Monte Carlo Algorithms," Journal of the American Statistical Association, American Statistical Association, vol. 98, pages 169-177, January.
    6. Dutta, P.K., 1991. "What Do Discounted Optima Converge To? A Theory of Discount Rate Asymptotics in Economic Models," RCER Working Papers 264, University of Rochester - Center for Economic Research (RCER).
    7. Danthine, Jean-Pierre & Donaldson, John B, 1981. "Stochastic Properties of Fast vs. Slow Growing Economies," Econometrica, Econometric Society, vol. 49(4), pages 1007-1033, June.
    8. Brock, William A. & Mirman, Leonard J., 1972. "Optimal economic growth and uncertainty: The discounted case," Journal of Economic Theory, Elsevier, vol. 4(3), pages 479-513, June.
    9. Nishimura, Kazuo & Stachurski, John, 2005. "Stability of stochastic optimal growth models: a new approach," Journal of Economic Theory, Elsevier, vol. 122(1), pages 100-118, May.
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    Cited by:

    1. Armando F. Mendoza-Pérez & Héctor Jasso-Fuentes & Omar A. De-la-Cruz Courtois, 2016. "Constrained Markov decision processes in Borel spaces: from discounted to average optimality," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 84(3), pages 489-525, December.

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