On maximin dynamic programming and the rate of discount

Jean-Pierre Drugeon (), Thai Ha-Huy and Thi Do Hanh Nguyen
Additional contact information
Jean-Pierre Drugeon: Centre National de la Recherche Scientifique
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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://link.springer.com/10.1007/s00199-018-1166-0 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
Working Paper: On maximin dynamic programming and the rate of discount (2019)
Working Paper: On maximin dynamic programming and the rate of discount (2019)
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:joecth:v:67:y:2019:i:3:d:10.1007_s00199-018-1166-0

Ordering information: This journal article can be ordered from
http://www.springer. ... eory/journal/199/PS2

DOI: 10.1007/s00199-018-1166-0

Access Statistics for this article

Economic Theory is currently edited by Nichoals Yanneils

More articles in Economic Theory from Springer, Society for the Advancement of Economic Theory (SAET) Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().