On maximin dynamic programming and the rate of discount

B-Tier
Journal: Economic Theory
Year: 2019
Volume: 67
Issue: 3
Pages: 703-729

Authors (3)

Jean-Pierre Drugeon (not in RePEc) Thai Ha-Huy (Université Paris-Saclay) Thi Do Hanh Nguyen (not in RePEc)

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Abstract 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.

Technical Details

RePEc Handle
repec:spr:joecth:v:67:y:2019:i:3:d:10.1007_s00199-018-1166-0
Journal Field
Theory
Author Count
3
Added to Database
2026-01-25