Non-Constant Discounting in Continuous Time

Larry Karp

No 25050, CUDARE Working Papers from University of California, Berkeley, Department of Agricultural and Resource Economics

Abstract: This note derives the dynamic programming equation (DPE) to a differentiable Markov Perfect equilibrium in a problem with non-constant discounting and general functional forms. We begin with a discrete stage model and take the limit as the length of the stage goes to 0 to obtain the DPE corresponding to the continuous time problem. We characterize the multiplicity of equilibria under non-constant discounting and discuss the relation between a given equilibrium of that model and the unique equilibrium of a related problem with constant discounting. We calculate the bounds of the set of candidate steady states and we Pareto rank the equilibria.

Keywords: Research; Methods/; Statistical; Methods (search for similar items in EconPapers)
Pages: 24
Date: 2004
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Citations: View citations in EconPapers (2)

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https://ageconsearch.umn.edu/record/25050/files/wp040969.pdf (application/pdf)

Related works:
Journal Article: Non-constant discounting in continuous time (2007)
Working Paper: Non-constant discounting in continuous time (2007)
Working Paper: Non-Constant Discounting in Continuous Time (2005)
Working Paper: Non-Constant Discounting in Continuous Time (2005)
Working Paper: Non-Constant Discounting in Continuous Time (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:ucbecw:25050

DOI: 10.22004/ag.econ.25050

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