Abstract
Only a small number of DPs possess an explicit solution. Therefore structural (i.e. qualitative) properties of the value functions and maximizers are of considerable importance. Here we study the monotonicity of V n (s) in n and, with arbitrary relations on S, also in s. Examples of structural properties considered in later sections are concavity and Lipschitz continuity of the value function. As a first benefit of each structural result it can serve to check the correctness of numerical computations. Further benefits, specific to the structure considered, are discussed at the corresponding place.
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References
Beckmann, M. J. (1968). Dynamic programming of economic decisions. New York: Springer.
Hinderer, K. (1985). On the structure of solutions of stochastic dynamic programs. In Proceedings of the seventh conference on probability theory (Braşov, 1982) (pp. 173–182). Utrecht: VNU Science Press.
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Hinderer, K., Rieder, U., Stieglitz, M. (2016). Monotonicity of the Value Functions. In: Dynamic Optimization. Universitext. Springer, Cham. https://doi.org/10.1007/978-3-319-48814-1_6
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DOI: https://doi.org/10.1007/978-3-319-48814-1_6
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Online ISBN: 978-3-319-48814-1
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