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Stochastic optimal policies when the discount rate vanishes

Nishimura, Kazuo; Stachurski, John

Description

Dutta [1991. What do discounted optima converge to? A theory of discount rate asymptotics in economic models. Journal of Economic Theory 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.

CollectionsANU Research Publications
Date published: 2007
Type: Journal article
URI: http://hdl.handle.net/1885/29619
Source: Journal of Economic Dynamics and Control
DOI: 10.1016/j.jedc.2006.05.011

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