Do not Blame Bellman: It Is Koopmans’ Fault

Article dans une revue: We provide a unified approach to stochastic dynamic programming with recursive utility based on an elementary application of Tarski's fixed point theorem. We establish that the exclusive source of multiple values is the presence of multiple recursive utilities consistent with the given aggregator, each yielding a legitimate value of the recursive program. We also present sufficient conditions ensuring a unique value of the recursive program in some circumstances. Overall, acknowledging the unavoidable failure of uniqueness in general, we argue that the greatest fixed point of the Bellman operator should have a privileged position.

Auteur(s)

Gaetano Bloise, Cuong Le Van, Yiannis Vailakis

Revue
  • Econometrica
Date de publication
  • 2024
Pages
  • 111-140
Version
  • 1
Volume
  • 92