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Stochastic convexity in dynamic programming

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  • Alp E. Atakan

Abstract

This paper explores sufficient conditions for a continuous stationary Markov optimal policy and a concave value function in stochastic dynamic programming problems. Also, the paper addresses conditions needed for the differentiability of the value function. The paper uses conditions such as first order stochastic dominance, second order stochastic dominance and concave stochastic dominance that are widely applied in economics. Copyright Springer-Verlag Berlin Heidelberg 2003

Suggested Citation

  • Alp E. Atakan, 2003. "Stochastic convexity in dynamic programming," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 22(2), pages 447-455, September.
    • Handle: RePEc:spr:joecth:v:22:y:2003:i:2:p:447-455
    DOI: 10.1007/s00199-002-0307-6
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    Cited by:

    1. R. Quentin Grafton & Tom Kompas & Pham Van Ha, 2006. "The Economic Payoffs from Marine Reserves: Resource Rents in a Stochastic Environment," The Economic Record, The Economic Society of Australia, vol. 82(259), pages 469-480, December.
    2. Moshe Buchinsky & Phillip Leslie, 2010. "Educational Attainment and the Changing U.S. Wage Structure: Dynamic Implications on Young Individuals' Choices," Journal of Labor Economics, University of Chicago Press, vol. 28(3), pages 541-594, July.
    3. Tom Kompas & Pham Van Ha & R. Quentin Grafton, 2004. "Saving the Seas: The Economic Justification for Marine Reserves," International and Development Economics Working Papers idec04-3, International and Development Economics.

    More about this item

    Keywords

    Keywords and Phrases:Dynamic programming; Stochastic dominance; Concave value function; Differentiable value function.; JEL Classification Numbers:C61; O41; D80; D90.;
    All these keywords.

    JEL classification:

    • O41 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - One, Two, and Multisector Growth Models
    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General

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