scholarly journals Existence Results and Finite Horizon Approximates for Infinite Horizon Optimization Problems

Econometrica ◽  
1987 ◽  
Vol 55 (5) ◽  
pp. 1187 ◽  
Author(s):  
Sjur D. Flam ◽  
Roger J-B. Wets
Keyword(s):  
Optimization Problems ◽  
Infinite Horizon ◽  
Existence Results ◽  
Finite Horizon ◽  
Infinite Horizon Optimization

Discrete-Time Finite Horizon Approximation of Infinite Horizon Optimization Problems with Steady-State Invariance

Econometrica ◽  
1994 ◽  
Vol 62 (3) ◽  
pp. 635 ◽  
Author(s):  
Jean Mercenier ◽  
Philippe Michel
Keyword(s):  
Steady State ◽  
Discrete Time ◽  
Optimization Problems ◽  
Infinite Horizon ◽  
Finite Horizon ◽  
Infinite Horizon Optimization

NECESSARY AND SUFFICIENT CONDITIONS FOR DYNAMIC OPTIMIZATION

2014 ◽  
Vol 20 (3) ◽  
pp. 667-684 ◽  
Author(s):  
A. Kerem Coşar ◽  
Edward J. Green
Keyword(s):  
Optimization Problems ◽  
Infinite Horizon ◽  
Sufficient Conditions ◽  
Transversality Condition ◽  
Necessary And Sufficient Conditions ◽  
Infinite Horizon Optimization ◽  
Sufficient Conditions For Optimality ◽  
The Government ◽  
Duality Approach ◽  
Necessary And Sufficient

We characterize the necessary and sufficient conditions for optimality in discrete-time, infinite-horizon optimization problems with a state space of finite or infinite dimension. It is well known that the challenging task in this problem is to prove the necessity of the transversality condition. To do this, we follow a duality approach in an abstract linear space. Our proof resembles that of Kamihigashi (2003), but does not explicitly use results from real analysis. As an application, we formalize Sims's argument that the no-Ponzi constraint on the government budget follows from the necessity of the tranversality condition for optimal consumption.

Transversality Conditions for Some Infinite Horizon Discrete Time Optimization Problems

1986 ◽  
Vol 11 (2) ◽  
pp. 216-229 ◽  
Author(s):  
Ivar Ekeland ◽  
José Alexandre Scheinkman
Keyword(s):  
Discrete Time ◽  
Optimization Problems ◽  
Infinite Horizon ◽  
Transversality Conditions ◽  
Time Optimization

scholarly journals Solvability in infinite horizon optimization

2015 ◽  
Vol 43 (5) ◽  
pp. 498-503 ◽  
Author(s):  
Timothy D. Lortz ◽  
Irina S. Dolinskaya ◽  
Archis Ghate ◽  
Robert L. Smith
Keyword(s):  
Infinite Horizon ◽  
Infinite Horizon Optimization

scholarly journals Optimal Stopping for Processes with Independent Increments, and Applications

2009 ◽  
Vol 46 (04) ◽  
pp. 1130-1145 ◽  
Author(s):  
G. Deligiannidis ◽  
H. Le ◽  
S. Utev
Keyword(s):  
Optimal Stopping ◽  
Optimization Problems ◽  
Infinite Horizon ◽  
Unified Approach ◽  
Reward Function ◽  
Finance Industry ◽  
Independent Increments ◽  
Reward Functions ◽  
First Time ◽  
The Value Function

In this paper we present an explicit solution to the infinite-horizon optimal stopping problem for processes with stationary independent increments, where reward functions admit a certain representation in terms of the process at a random time. It is shown that it is optimal to stop at the first time the process crosses a level defined as the root of an equation obtained from the representation of the reward function. We obtain an explicit formula for the value function in terms of the infimum and supremum of the process, by making use of the Wiener–Hopf factorization. The main results are applied to several problems considered in the literature, to give a unified approach, and to new optimization problems from the finance industry.

Sign in / Sign up

Export Citation Format

Share Document