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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

Type
Article accepté pour publication ou publié
Date
1974
Journal name
Journal of Economic Theory
Volume
7
Number
1
Publisher
Elsevier
Pages
66-92
Publication identifier
Metadata
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Author(s)
Jeanjean, Patrick
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 / Keywords
optimal programs