Autori
Privileggi, Fabio
Montrucchio, Luigi

Titolo
Negative dynamic programming with non-additively time-separable objectives.
Periodico
Università degli studi di Torino. Dip. Di Economia e Statistica Cognetti de Martiis. Working paper series
Anno: 2024 - Volume: 2 - Fascicolo: 4 - Pagina iniziale: 1 - Pagina finale: 30

A class of intertemporal optimization models characterized by a recursive objective functional obtained as the limit of iterations of the Koopmans aggregator is considered. We focus on negative dynamic programming problems in which aggregators may be un- bounded from below and establish existence of an optimal solution under the assumption of strong concavity for the aggregator, both in the deterministic and in the stochastic settings.



Testo completo: https://www.est.unito.it/do/home.pl/Download?doc=/allegati/wp2024dip/wp_04_2024.pdf

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