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Dynamic Programming for Non-Additive Stochastic Objectives

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  • Hiroyuki Ozaki
  • Peter A. Streufert

Abstract

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Suggested Citation

  • Hiroyuki Ozaki & Peter A. Streufert, 1994. "Dynamic Programming for Non-Additive Stochastic Objectives," University of Western Ontario, Departmental Research Report Series 9416, University of Western Ontario, Department of Economics.
    • Handle: RePEc:uwo:uwowop:9416
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    File URL: https://ir.lib.uwo.ca/cgi/viewcontent.cgi?article=1435&context=economicsresrpt
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    Cited by:

    1. Jaroslav Borovička & John Stachurski, 2020. "Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities," Journal of Finance, American Finance Association, vol. 75(3), pages 1457-1493, June.
    2. Anderson, Evan W., 2005. "The dynamics of risk-sensitive allocations," Journal of Economic Theory, Elsevier, vol. 125(2), pages 93-150, December.
    3. Kiyohiko G. Nishimura & Hiroyuki Ozaki, 2001. "Search under the Knightian Uncertainty," CIRJE F-Series CIRJE-F-112, CIRJE, Faculty of Economics, University of Tokyo.
    4. Bloise, G. & Van, C. Le & Vailakis, Y., 2024. "An approximation approach to dynamic programming with unbounded returns," Journal of Mathematical Economics, Elsevier, vol. 111(C).
    5. Streufert, P. A., 1995. "A general theory of separability for preferences defined on a countably infinite product space," Journal of Mathematical Economics, Elsevier, vol. 24(5), pages 407-434.
    6. Peter A. Streufert, 2023. "Dynamic Programming for Pure-Strategy Subgame Perfection in an Arbitrary Game," Papers 2302.03855, arXiv.org, revised Mar 2023.
    7. Nishimura, Kiyohiko G. & Ozaki, Hiroyuki, 2004. "Search and Knightian uncertainty," Journal of Economic Theory, Elsevier, vol. 119(2), pages 299-333, December.
    8. Łukasz Balbus, 2020. "On recursive utilities with non-affine aggregator and conditional certainty equivalent," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 70(2), pages 551-577, September.
    9. Jing Guo & Xue Dong He, 2021. "Recursive Utility with Investment Gains and Losses: Existence, Uniqueness, and Convergence," Papers 2107.05163, arXiv.org.
    10. Ozaki, Hiroyuki & Streufert, Peter A., 1996. "Dynamic programming for non-additive stochastic objectives," Journal of Mathematical Economics, Elsevier, vol. 25(4), pages 391-442.
    11. Marinacci, Massimo & Montrucchio, Luigi, 2010. "Unique solutions for stochastic recursive utilities," Journal of Economic Theory, Elsevier, vol. 145(5), pages 1776-1804, September.
    12. Kiyohiko G. Nishimura & Hiroyuki Ozaki, 2003. "Liquidity Motives of Holding Money under Investment Risk: A Dynamic Analysis," CIRJE F-Series CIRJE-F-232, CIRJE, Faculty of Economics, University of Tokyo.
    13. Bloise, Gaetano & Vailakis, Yiannis, 2018. "Convex dynamic programming with (bounded) recursive utility," Journal of Economic Theory, Elsevier, vol. 173(C), pages 118-141.
    14. Shin-ichi Fukuda, 2001. "A Model of Keynesian under Knightian Uncertainty," CIRJE F-Series CIRJE-F-115, CIRJE, Faculty of Economics, University of Tokyo.
    15. Rahul Deb & Yuichi Kitamura & John K H Quah & Jörg Stoye, 2023. "Revealed Price Preference: Theory and Empirical Analysis," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 90(2), pages 707-743.
    16. Nicole Bäuerle & Anna Jaśkiewicz, 2024. "Markov decision processes with risk-sensitive criteria: an overview," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 99(1), pages 141-178, April.
    17. Kiyohiko G. Nishimura & Hiroyuki Ozaki, 2014. "Liquidity Preference And Knightian Uncertainty," CARF F-Series CARF-F-337, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    18. Masayuki Yao, 2016. "Recursive Utility and the Solution to the Bellman Equation," Discussion Paper Series DP2016-08, Research Institute for Economics & Business Administration, Kobe University.
    19. Toda, Alexis Akira, 2014. "Incomplete market dynamics and cross-sectional distributions," Journal of Economic Theory, Elsevier, vol. 154(C), pages 310-348.
    20. Guanlong Ren & John Stachurski, 2018. "Dynamic Programming with Recursive Preferences: Optimality and Applications," Papers 1812.05748, arXiv.org, revised Jun 2020.
    21. Bäuerle, Nicole & Jaśkiewicz, Anna, 2018. "Stochastic optimal growth model with risk sensitive preferences," Journal of Economic Theory, Elsevier, vol. 173(C), pages 181-200.
    22. Jorge Durán, 2003. "Discounting long run average growth in stochastic dynamic programs," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 22(2), pages 395-413, September.
    23. Thomas Mayer, 1997. "The rhetoric of Friedman's quantity theory manifesto," Journal of Economic Methodology, Taylor & Francis Journals, vol. 4(2), pages 199-220.

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