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On temporal aggregators and dynamic programming

Philippe Bich (), Jean-Pierre Drugeon and Lisa Morhaim
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Philippe Bich: University of Paris 1 Panthéon-Sorbonne
Lisa Morhaim: University of Paris 2 Panthéon-Assas

Economic Theory, 2018, vol. 66, issue 3, No 9, 787-817

Abstract: Abstract This paper proposes dynamic programming tools for payoffs based on aggregating functions that depend on the current action and the future expected payoff. Some regularity properties are provided on the aggregator to establish existence, uniqueness and computation of the solution to the Bellman equation. Our setting allows to encompass and generalize many previous results based upon additive or non-additive payoff functions.

Keywords: Dynamic programming; Temporal aggregators; Intertemporal choice (search for similar items in EconPapers)
JEL-codes: C61 D90 (search for similar items in EconPapers)
Date: 2018
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Working Paper: On Temporal Aggregators and Dynamic Programming (2017) Downloads
Working Paper: On Temporal Aggregators and Dynamic Programming (2017) Downloads
Working Paper: On Temporal Aggregators and Dynamic Programming (2017) Downloads
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DOI: 10.1007/s00199-017-1045-0

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