This paper studies necessity of transversality conditions for the continuous time, reduced form model. By generalizing Benveniste and Scheinkman's (1982) quot;envelopequot; condition and Michel's (1990) version of the squeezing argument, we show a generalization of Michel's (1990, Theorem 1)...

This paper studies conditions under which the price of an asset is uniquely determined by its fundamental value (i.e., no bubbles can arise) in Lucas-type asset pricing models with unbounded utility. After discussing Gilles and LeRoy's (1992) example, we construct an example of a two-period,...

This paper studies necessity of transversality conditions for the continuous time, reduced form model. By generalizing Benveniste and Scheinkman's (1982) quot;envelopequot; condition and Michel's (1990) version of the squeezing argument, we show a generalization of Michel's (1990, Theorem 1)...

This paper studies conditions under which the price of an asset is uniquely determined by its fundamental value (i.e., no bubbles can arise) in Lucas-type asset pricing models with unbounded utility. After discussing Gilles and LeRoy's (1992) example, we construct an example of a two-period,...

In this note, we show that the least fixed point of the Bellman operator in a certain set can be computed by value iteration whether or not the fixed point is the value function. As an application, we show one of the main results of Kamihigashi (2014, "Elementary results on solutions to the...

We study existence and uniqueness of a fixed point for the Bellman operator in deterministic dynamic programming. Without any topological assumption, we show that the Bellman operator has a unique fixed point in a restricted domain, that this fixed point is the value function, and that the value...

This paper studies a life-cycle model in which the consumption good is assumed to be indivisible. This assumption requires the number of units of the good purchased in each period to be an integer. It is shown that, if the discount factor is sufficiently small, the policy function takes the form...

This note provides a simple proof of the necessity of the transversality condition for the differentiable reduced-form model. The proof uses only an elementary perturbation argument without relying on dynamic programming. The proof makes it clear that, contrary to common belief, the necessity of...

This note provides a simple proof of the necessity of the transversality condition for the differentiable reduced-form model. The proof uses only an elementary perturbation argument without relying on dynamic programming. The proof makes it clear that, contrary to common belief, the necessity of...

This paper considers the resource constraint commonly used in stochastic one-sector growth models. Shocks are not required to be i.i.d. It is shown that any feasible path converges to zero exponentially fast almost surely under a certain condition. In the case of multiplicative shocks, the...