Zobrazeno 1 - 10
of 36
pro vyhledávání: '"Juan Pablo Rincón Zapatero"'
Publikováno v:
Rect@, Vol Actas_8, Iss 1, p 6 (2000)
El enfoque clásico para el estudio de pro lemas de control estocástico se asa en la ecuación de Hamilton-Jacobi-Bellman, que caracteriza a la función valor óptimo En este trabajo mostramos que en ciertos problemas es posible deducir ecuaciones e
Externí odkaz:
https://doaj.org/article/32e098efcc8948c88d4184d01c9952d5
Publikováno v:
Mathematical Social Sciences. 112:84-97
We reconsider the theory of Thompson aggregators proposed by Marinacci and Montrucchio (Marinacci and Montrucchio, 2010). We prove the existence of a Least Fixed Point (LFP) solution to the Koopmans equation. It is a recursive utility function. Our p
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::84dc39ea8b0452f4b6cdedd9d840891d
https://doi.org/10.1016/j.mathsocsci.2021.03.015
https://doi.org/10.1016/j.mathsocsci.2021.03.015
Publikováno v:
Optimal Control Applications and Methods. 40:545-557
This paper aims to characterize a class of stochastic differential games which satisfy the certainty equivalence principle. This means that the Markov Perfect Nash Equilibrium is also an equilibrium of the associated deterministic game. By focusing o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c8bef7058593c1e9395f6b5076c91fa8
https://doi.org/10.1002/oca.2494
https://doi.org/10.1002/oca.2494
Publikováno v:
e-Archivo. Repositorio Institucional de la Universidad Carlos III de Madrid
instname
instname
It is generally admitted that a correct forecasting of uncertain variables needs Markov decision rules. In a dynamic game environment, this belief is reinforced if one focuses on credible actions of the players. Usually, subgame perfectness requires
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4caf7648bb88ba84718d707372dc4f73
https://doi.org/10.1007/s13235-017-0221-y
https://doi.org/10.1007/s13235-017-0221-y
Publikováno v:
SSRN Electronic Journal.
The existence of a unique optimum, a unique optimal stationary program, and a turnpike theorem are demonstrated for a neoclassical one sector optimal growth model. The planner's allocation problem is formulated as a discrete time deterministic, infin
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6b8de10549ff6adc04fd79d15ddba22f
https://doi.org/10.2139/ssrn.3521498
https://doi.org/10.2139/ssrn.3521498
Autor:
Juan Pablo Rincón-Zapatero
Publikováno v:
e-Archivo. Repositorio Institucional de la Universidad Carlos III de Madrid
instname
instname
We consider a stochastic, non-concave dynamic programming problem admitting interior solutions and prove, under mild conditions, that the expected value function is differentiable along optimal paths. This property allows us to obtain rigorously the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ad691f3a6bb3222d90b86cfb7b8a64ae
https://hdl.handle.net/10016/33936
https://hdl.handle.net/10016/33936
Publikováno v:
e-Archivo. Repositorio Institucional de la Universidad Carlos III de Madrid
instname
instname
This paper investigates the first-order differentiability properties of the value function in dynamic economic models with recursive preferences where the optimal policy may lie at the boundary of the feasible set under several regular assumptions or
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::517131028e3bb313c6df6719ef64b7c0
https://hdl.handle.net/10016/34655
https://hdl.handle.net/10016/34655
Publikováno v:
SSRN Electronic Journal.
We reconsider the theory of Thompson aggregators proposed by Marinacci and Montrucchio. We prove a variant of their Recovery Theorem establishing the existence of extremal solutions to the Koopmans equation. We apply the constructive Tarski-Kantorovi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ca023a9744d26bb5095671148efc8445
https://doi.org/10.2139/ssrn.3228079
https://doi.org/10.2139/ssrn.3228079
Publikováno v:
e-Archivo. Repositorio Institucional de la Universidad Carlos III de Madrid
instname
UVaDOC. Repositorio Documental de la Universidad de Valladolid
UVaDOC: Repositorio Documental de la Universidad de Valladolid
Universidad de Valladolid
instname
UVaDOC. Repositorio Documental de la Universidad de Valladolid
UVaDOC: Repositorio Documental de la Universidad de Valladolid
Universidad de Valladolid
The paper studies the optimal asset allocation problem of a defined benefit pension plan that operates in a financial market composed of risky assets whose prices are constant elasticity variance processes. The benefits paid to the participants are d
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1907e4398b8bf52d3b9ef32264e42cd5
https://doi.org/10.1016/j.insmatheco.2018.06.011
https://doi.org/10.1016/j.insmatheco.2018.06.011
Publikováno v:
SSRN Electronic Journal.
We reconsider the theory of Thompson aggregators proposed by Mari-nacci and Montrucchio. We demonstrate the Koopmans equation has a unique utility function solution given a Thompson aggregator. Uniqueness holds only on the interior of the commodity s
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c36a5d1da0fe00c41483df2efa3d240d
https://doi.org/10.2139/ssrn.3239606
https://doi.org/10.2139/ssrn.3239606