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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, CES - Centre d'économie de la Sorbonne - UP1 - Université Panthéon-Sorbonne - 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: Dynamic Programming; Temporal Aggregators; Intertemporal Choice (search for similar items in EconPapers)
Date: 2017
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Published in Economic Theory, Springer Verlag, In press, pp.1-31. ⟨10.1007/s00199-017-1045-0⟩

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Journal Article: On temporal aggregators and dynamic programming (2018) Downloads
Working Paper: On Temporal Aggregators and Dynamic Programming (2017) Downloads
Working Paper: On Temporal Aggregators and Dynamic Programming (2017) Downloads
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DOI: 10.1007/s00199-017-1045-0

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