Title: Discrete Time Dynamic Programming with Recursive Preferences: Optimality and Applications,
Abstract: This paper provides an alternative approach to the theory of dynamic
programming, designed to accommodate the kinds of recursive preference
specifications that have become popular in economic and financial analysis,
while still supporting traditional additively separable rewards. The approach
exploits the theory of monotone convex operators, which turns out to be well
suited to dynamic maximization. The intuition is that convexity is preserved
under maximization, so convexity properties found in preferences extend
naturally to the Bellman operator.