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
Jean-Pierre Drugeon: 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, PJSE - Paris Jourdan Sciences Economiques - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - INRA - Institut National de la Recherche Agronomique - EHESS - École des hautes études en sciences sociales - ENPC - École nationale des ponts et chaussées - CNRS - Centre National de la Recherche Scientifique
Lisa Morhaim: CRED - Centre de Recherche en Economie et Droit - UP2 - Université Panthéon-Assas

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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
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 (5)

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

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Related works:
Journal Article: On temporal aggregators and dynamic programming (2018)
Working Paper: On Temporal Aggregators and Dynamic Programming (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-01437496

DOI: 10.1007/s00199-017-1045-0

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