Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: Sep, 1987, Volume 55, Issue 5

Existence Results and Finite Horizon Approximates for Infinite Horizon Optimization Problems

https://www.jstor.org/stable/1911267
p. 1187-1209

Roger J-B. J-B. Wets, Sjur D. Flam

The paper deals with infinite horizon optimization problems. The existence of optimal solutions is obtained as a consequence of an asymptotic growth condition. We also construct finite horizon approximates that yield upper and lower bounds for the optimal values and whose optimal solutions converge to the long-term optimal trajectories. One type of approximate results from a process which involves smoothening the tail of any trajectory. The other type emerges when we restrain ourselves to stay put after a finite lapse of time.


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