Optimal development programs under uncertainty: The undiscounted case
Jeanjean, Patrick (1974), Optimal development programs under uncertainty: The undiscounted case, Journal of Economic Theory, 7, 1, p. 66-92. http://dx.doi.org/10.1016/0022-0531(74)90081-7
TypeArticle accepté pour publication ou publié
Journal nameJournal of Economic Theory
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Abstract (EN)One considers a many-commodity world where technology depends on an exogenous environment whose successive states form a stationary Markov process. A program is optimal if it overtakes any other program or has the maximum expected utility. It is shown there exists a best stationary program. One proves then there exists an optimal program, which converges asymptotically to the best stationary program, and is generated by a policy such that, at every date, a nonrandom production decision is chosen which depends only on the state of the world and of the economy at that time.
Subjects / Keywordsoptimal programs
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Kübler, Felix; Chiappori, Pierre-André; Ekeland, Ivar; Polemarchakis, Heracles M. (2000) Document de travail / Working paper