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Stochastic optimal policies when the discount rate vanishes

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Date

2007

Authors

Nishimura, Kazuo
Stachurski, John

Journal Title

Journal ISSN

Volume Title

Publisher

Elsevier

Abstract

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.

Description

Keywords

Keywords: Dynamic programming; Long-run optimality

Citation

URI

http://hdl.handle.net/1885/29619

Collections

ANU Research Publications

Source

Journal of Economic Dynamics and Control

Type

Journal article

Book Title

Entity type

Access Statement

License Rights

DOI

10.1016/j.jedc.2006.05.011

Restricted until

2037-12-31

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