Lipschitz continuous dynamic programming with discount |
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| Institution: | 1. Department of Estadística e Investigación Operativa II, Universidad Complutense, 28223 Madrid, Spain;2. Department of Fundamentos del Análisis Económico I, Universidad Complutense, 28223 Madrid, Spain |
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| Abstract: | We show that if the return function, the technological constraints and the transition function of a standard problem of stochastic dynamic programming with discount satisfy Lipschitz regularity assumptions, then the value function is Lipschitz regular. |
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