On variable discounting in dynamic programming: applications to resource extraction and other economic models
Anna Jaśkiewicz,
Janusz Matkowski () and
Andrzej Nowak
Annals of Operations Research, 2014, vol. 220, issue 1, 263-278
Abstract:
This paper generalizes the classical discounted utility model introduced in Samuelson (Rev. Econ. Stud. 4:155–161, 1937 ) by replacing a constant discount rate with a function. The existence of recursive utilities and their constructions are based on Matkowski’s extension of the Banach Contraction Principle. The derived utilities go beyond the class of recursive utilities studied in the literature and enable a discussion on subtle issues concerning time preferences in the theory of finance, economics or psychology. Moreover, our main results are applied to the theory of optimal economic growth related with resource extraction models with unbounded utility function of consumption. Copyright Springer Science+Business Media, LLC 2014
Keywords: Dynamic programming; Variable discounting; Bellman equation; Resource extraction; Growth theory (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)
Downloads: (external link)
http://hdl.handle.net/10.1007/s10479-011-0931-2 (text/html)
Access to full text is restricted to subscribers.
Related works:
Working Paper: On Variable Discounting in Dynamic Programming: Applications to Resource Extraction and Other Economic Models (2011) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:spr:annopr:v:220:y:2014:i:1:p:263-278:10.1007/s10479-011-0931-2
Ordering information: This journal article can be ordered from
http://www.springer.com/journal/10479
DOI: 10.1007/s10479-011-0931-2
Access Statistics for this article
Annals of Operations Research is currently edited by Endre Boros
More articles in Annals of Operations Research from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().