Discounted linear exponential quadratic Gaussian control

1995/05/01 by Lars Peter Hansen, L.P. Hansen, Thomas J. Sargent +1 · 1 citation
Engineering · Economics, Econometrics and Finance · #Advanced Control Systems Optimization #Economic theories and models #Climate Change Policy and Economics

paper · doi:10.1109/9.384242

Abstract

In this note, we describe a recursive formulation of discounted costs for a linear quadratic exponential Gaussian linear regulator problem which implies time-invariant linear decision rules in the infinite horizon case. Time invariance in the discounted case is attained by surrendering state-separability of the risk-adjusted costs.< <ETX xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">&gt;</ETX>

Citations

• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Temporal Resolution of Uncertainty and Dynamic Choice Theory

Cited by

• On the Bellman equation in recursive stochastic dynamic programming with the CES aggregator

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