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- handle: 10670/1.petu7n
- halshs: halshs-02096484
- doi: 10.1007/s00199-018-1166-0
- WOS: 000469816900009
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info:eu-repo/semantics/altIdentifier/doi/10.1007/s00199-018-1166-0
Mots-clés
Policy function Supermodularity Value function Non-convexities Maximin principle C - Mathematical and Quantitative Methods/C.C6 - Mathematical Methods • Programming Models • Mathematical and Simulation Modeling/C.C6.C61 - Optimization Techniques • Programming Models • Dynamic Analysis D - Microeconomics/D.D9 - Intertemporal Choice/D.D9.D90 - GeneralSujets proches
Hours (Time) Bank discount Discount rateCiter ce document
Jean-Pierre Drugeon et al., « On maximin dynamic programming and the rate of discount », HAL-SHS : économie et finance, ID : 10.1007/s00199-018-1166-0
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Résumé
This article establishes a dynamic programming argument for a maximin optimization problem where the agent completes a minimization over a set of discount rates. Even though the consideration of a maximin criterion results in a program that is not convex and not stationary over time, it is proved that a careful reference to extended dynamic programming principles and a maxmin functional equation however allows for circumventing these difficulties and recovering an optimal sequence that is time consistent.