Super contact and related optimality conditions

  title={Super contact and related optimality conditions},
  author={Bernard Dumas},
Under transactions costs, and generally any sort of friction, economic agents, acting dynamically in a stochastic environment, may find it optimal, in some region of the state space, to take no action at all. Action is triggered when the state of the economic system reaches the boundary of the ‘region of no action’. In this note, first-order conditions for the choice of the region of no action, and for the type of action to be taken, are established, assuming that the uncontrolled state… CONTINUE READING
Highly Cited
This paper has 113 citations. REVIEW CITATIONS

From This Paper

Topics from this paper.


Publications citing this paper.

114 Citations

Citations per Year
Semantic Scholar estimates that this publication has 114 citations based on the available data.

See our FAQ for additional information.


Publications referenced by this paper.
Showing 1-10 of 18 references

Brownian motion and stochastic flow systems (Wiley

  • J. M. Harrison
  • 1985
Highly Influential
5 Excerpts

Asset pricing and optimal portfolio choice in the presence of illiquid durable consumption

  • S. J. Grossman, G. Laroque
  • goods, Econometrica
  • 1990
Highly Influential
4 Excerpts

Irreversible investment, Working paper, July (MIT, Cambridge, MA), revised

  • G. Bertola
  • 1987
Highly Influential
4 Excerpts

Target zones and exchange rate dynamics, Quarterly Journal of Economics, forthcoming

  • P. Krugman
  • 1990
Highly Influential
3 Excerpts

An exact solution to the portfolio choice problem under transactions costs, Working paper, Dec. (University of Pennsylvania, Philadelphia, PA)

  • B. Dumas, E. Luciano
  • 1989
1 Excerpt

The linkage between speculative attack and target zone models of exchange rates, NBER working paper 2918

  • R. P. Flood, P. M. Garber
  • 1989
1 Excerpt

Time to ship and the dynamic behavior of deviations from the law of one price, Working paper, July (University of Pennsylvania, Philadelphia, PA)

  • B. Dumas
  • 1987
3 Excerpts

Similar Papers

Loading similar papers…