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Dynamic Programming with Recursive Preferences: Optimality and Applications

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arxiv 1812.05748 v4 pith:4JID5H2C submitted 2018-12-14 econ.GN q-fin.EC

Guanlong Ren , John Stachurski This is my paper · ORCID
classification econ.GNq-fin.EC
keywords preferencesdynamicoptimalityrecursiveapplicationsbellmanincludeoptimal
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This paper provides new conditions for dynamic optimality in discrete time and uses them to establish fundamental dynamic programming results for several commonly used recursive preference specifications. These include Epstein-Zin preferences, risk-sensitive preferences, narrow framing models and recursive preferences with sensitivity to ambiguity. The results obtained for these applications include (i) existence of optimal policies, (ii) uniqueness of solutions to the Bellman equation, (iii) a complete characterization of optimal policies via Bellman's principle of optimality, and (iv) a globally convergent method of computation via value function iteration.

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Cited by 2 Pith papers

Reviewed papers in the Pith corpus that reference this work. Sorted by Pith novelty score. Full citation record

  1. The Endogenous Grid Method for Epstein-Zin Preferences

    econ.GN 2026-01 conditional novelty 7.0 of 10

    A power transformation W=V^(1-rho) makes the Epstein-Zin Euler equation invertible in closed form, yielding a root-finding-free endogenous grid method with large speed and accuracy gains.

  2. History-Dependent Recursive Preferences in Markov Decision Processes

    math.OC 2026-07 conditional novelty 6.0 of 10

    History-dependent recursive preferences have a canonical minimal preference-augmented state and Bellman recursion when certainty-equivalent richness and separability axioms hold.

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