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DOE OSTI · 21480264

Two Characterizations of Optimality in Dynamic Programming

Karatzas, Ioannis
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Abstract

It holds in great generality that a plan is optimal for a dynamic programming problem, if and only if it is 'thrifty' and 'equalizing.' An alternative characterization of an optimal plan, that applies in many economic models, is that the plan must satisfy an appropriate Euler equation and a transversality condition. Here we explore the connections between these two characterizations.

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97 MATHEMATICS AND COMPUTINGCALCULATION METHODSDYNAMIC PROGRAMMINGECONOMIC ANALYSISECONOMICSEQUATIONSMATHEMATICAL MODELSOPTIMIZATION

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Karatzas, Ioannis. 2010-06-15. Two Characterizations of Optimality in Dynamic Programming. https://doi.org/10.1007/s00245-009-9093-x

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