On Temporal Aggregators and Dynamic Programming

Philippe Bich (), Jean-Pierre Drugeon and Lisa Morhaim
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Philippe Bich: PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement, CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique
Lisa Morhaim: CRED - Centre de Recherche en Economie et Droit - UP2 - Université Panthéon-Assas

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

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: Temporal Aggregators; Intertemporal Choice; Dynamic Programming (search for similar items in EconPapers)
Date: 2018-10
New Economics Papers: this item is included in nep-dge
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-01437496v1
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Citations: View citations in EconPapers (4)

Published in Economic Theory, 2018, 66, pp.787-817. ⟨10.1007/s00199-017-1045-0⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:halshs-01437496

DOI: 10.1007/s00199-017-1045-0

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