IDEAS home Printed from https://ideas.repec.org/h/wsi/wschap/9789814578127_0002.html
   My bibliography  Save this book chapter

Discounted Linear Exponential Quadratic Gaussian Control

In: UNCERTAINTY WITHIN ECONOMIC MODELS

Author

Listed:
  • Lars Peter Hansen
  • Thomas J Sargent

Abstract

This chapter formulates a version of a discounted Gaussian optimal linear regulator in which the return function is modified as suggested in Jacobson (1973), Jacobson (1977), Whittle (1981), Whittle (1989a), and Whittle (1990) to incorporate a risk adjustment. In Jacobson (1973), the problem is formulated for the undiscounted case. Contributions Bouakiz and Sobel (1985) and Whittle (1990) described how recursions on a Riccati difference equation apply to a discounted version of the problem. In their formulation with discounting, the optimal decision rules fail to be time-invariant: over time the effects of the risk-parameter “wear off,” and the decision rules eventually converge to what would prevail in the usual linear-quadratic case…

Suggested Citation

  • Lars Peter Hansen & Thomas J Sargent, 2014. "Discounted Linear Exponential Quadratic Gaussian Control," World Scientific Book Chapters, in: UNCERTAINTY WITHIN ECONOMIC MODELS, chapter 2, pages 23-32, World Scientific Publishing Co. Pte. Ltd..
  • Handle: RePEc:wsi:wschap:9789814578127_0002
    as

    Download full text from publisher

    File URL: https://www.worldscientific.com/doi/pdf/10.1142/9789814578127_0002
    Download Restriction: Ebook Access is available upon purchase.

    File URL: https://www.worldscientific.com/doi/abs/10.1142/9789814578127_0002
    Download Restriction: Ebook Access is available upon purchase.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:wschap:9789814578127_0002. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/page/worldscibooks .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.