Recursive utility and optimal growth with bounded or unbounded returns
In this paper we propose a unifying approach to the study of recursive economic problems. Postulating an aggregator function as the fundamental expression of tastes, we explore conditions under which a utility function can be constructed. We also modify the usual dynamic programming arguments to include this class of models. We show that Bellman's equation still holds, so many results known for the additively separable case can be generalized for this general description of preferences. Our approach is general, allowing for both bounded and unbounded (above/below) returns. Many recursive economic models, including the standard examples studied in the literature, are particular cases of our setting.
|Date of creation:||00 Oct 2002|
|Date of revision:|
|Contact details of provider:|| Postal: Voie du Roman Pays 34, 1348 Louvain-la-Neuve (Belgium)|
Fax: +32 10474304
Web page: http://www.uclouvain.be/core
More information through EDIRC
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.:
- Jorge Durán, 2003.
"Discounting long run average growth in stochastic dynamic programs,"
Springer, vol. 22(2), pages 395-413, 09.
- Duran, Jorge, 2001. "Discounting long run average growth in stochastic dynamic programs," CEPREMAP Working Papers (Couverture Orange) 0101, CEPREMAP.
- Jorge Durán, 2002. "Discounting Long Run Average Growth In Stochastic Dynamic Programs," Working Papers. Serie AD 2002-08, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Duran, Jorge, 2000. "Discounting Long Run Average Growth in Stochastic Dynamic Programs," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2000006, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- Dana, Rose-Anne & Van, Cuong Le, 1991.
"Optimal growth and Pareto optimality,"
Journal of Mathematical Economics,
Elsevier, vol. 20(2), pages 155-180.
- LE VAN, Cuong & MORHAIM, Lisa, 2001.
"Optimal growth models with bounded or unbounded returns: a unifying approach,"
CORE Discussion Papers
2001034, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Le Van, Cuong & Morhaim, Lisa, 2002. "Optimal Growth Models with Bounded or Unbounded Returns: A Unifying Approach," Journal of Economic Theory, Elsevier, vol. 105(1), pages 158-187, July.
- Le Van, C. & Morhaim, L., 2000. "Optimal Growth Models with Bounded or Unbounded Returns : a Unifying Approach," Papiers d'Economie MathÃ©matique et Applications 2000.64, UniversitÃ© PanthÃ©on-Sorbonne (Paris 1).
- Epstein, Larry G & Zin, Stanley E, 1989. "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework," Econometrica, Econometric Society, vol. 57(4), pages 937-69, July.
- Alvarez, Fernando & Stokey, Nancy L., 1998. "Dynamic Programming with Homogeneous Functions," Journal of Economic Theory, Elsevier, vol. 82(1), pages 167-189, September.
- Epstein, Larry G., 1983. "Stationary cardinal utility and optimal growth under uncertainty," Journal of Economic Theory, Elsevier, vol. 31(1), pages 133-152, October.
- Peter A. Streufert, 1990. "Stationary Recursive Utility and Dynamic Programming under the Assumption of Biconvergence," Review of Economic Studies, Oxford University Press, vol. 57(1), pages 79-97.
- Robert E. Lucas Jr. & Nancy L. Stokey, 1982.
"Optimal Growth with Many Consumers,"
518, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Boud, John III, 1990. "Recursive utility and the Ramsey problem," Journal of Economic Theory, Elsevier, vol. 50(2), pages 326-345, April.
- Juan Pablo RincÛn-Zapatero & Carlos RodrÌguez-Palmero, 2003. "Existence and Uniqueness of Solutions to the Bellman Equation in the Unbounded Case," Econometrica, Econometric Society, vol. 71(5), pages 1519-1555, 09.
When requesting a correction, please mention this item's handle: RePEc:cor:louvco:2002055. 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: (Alain GILLIS)
If references are entirely missing, you can add them using this form.