Dynamic Programming with State-Dependent Discounting

• Tác giả: John Stachurski, Junnan Zhang
• Ngôn ngữ: eng
• Ký hiệu phân loại: 003.56 Decision theory
• Thông tin xuất bản: 2019
• Bộ sưu tập: Metadata
• ID: 163266

Tóm tắt

Comment: 44 pages, 2 figuresThis paper extends the core results of discrete time infinite horizon dynamic programming to the case of state-dependent discounting. We obtain a condition on the discount factor process under which all of the standard optimality results can be recovered. We also show that the condition cannot be significantly weakened. Our framework is general enough to handle complications such as recursive preferences and unbounded rewards. Economic and financial applications are discussed.