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On maximin dynamic programming and the rate of discount

Jean-Pierre Drugeon, Thai Ha-Huy () and Thi Do Hanh Nguyen
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Thi Do Hanh Nguyen: Vietnam Maritime University

Economic Theory, 2019, vol. 67, issue 3, No 9, 703-729

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.

Keywords: Maximin principle; Non-convexities; Value function; Policy function; Supermodularity (search for similar items in EconPapers)
JEL-codes: C61 D90 (search for similar items in EconPapers)
Date: 2019
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Working Paper: On maximin dynamic programming and the rate of discount (2019)
Working Paper: On maximin dynamic programming and the rate of discount (2019)
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DOI: 10.1007/s00199-018-1166-0

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