Discounting models for outcomes over continuous time

Charles M. Harvey and Lars Peter Østerdal

Journal of Mathematical Economics, 2012, vol. 48, issue 5, 284-294

Abstract: Events that occur over a period of time can be described either as sequences of outcomes at discrete times or as functions of outcomes in an interval of time. This paper presents discounting models for events of the latter type. Conditions on preferences are shown to be satisfied if and only if the preferences are represented by a function that is an integral of a discounting function times a scale defined on outcomes at instants of time.

Keywords: Continuous time; Integral discounting; Integral utility function (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (7)

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Working Paper: Discounting Models for Outcomes over Continuous Time (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:mateco:v:48:y:2012:i:5:p:284-294

DOI: 10.1016/j.jmateco.2012.07.001

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