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On maximin dynamic programming and the rate of discount

Jean-Pierre Drugeon, Thai Ha-Huy () and Thi Do Hanh Nguyen
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Thai Ha-Huy: EPEE - Centre d'Etudes des Politiques Economiques - UEVE - Université d'Évry-Val-d'Essonne, TIMAS - Institute of Mathematics and Applied Science
Thi Do Hanh Nguyen: Vietnam Maritime University

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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: Supermodularity; Policy function; Value function; Non-convexities; Maximin principle (search for similar items in EconPapers)
Date: 2019-04
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-02096484
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Published in Economic Theory, Springer Verlag, 2019, 67 (3), pp.703-729. ⟨10.1007/s00199-018-1166-0⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-02096484

DOI: 10.1007/s00199-018-1166-0

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