On maximin dynamic programming and the rate of discount
Jean-Pierre Drugeon,
Thai Ha-Huy and
Thi Do Hanh Nguyen
Additional contact information
Thi Do Hanh Nguyen: VMU - Vietnam Maritime University [Hai Phon]
Post-Print from HAL
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: Policy function; Supermodularity; Value function; Non-convexities; Maximin principle (search for similar items in EconPapers)
Date: 2019-12
References: Add references at CitEc
Citations: View citations in EconPapers (9)
Published in Economic Theory, 2019, 67 (3), pp.703-729. ⟨10.1007/s00199-018-1166-0⟩
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Related works:
Journal Article: On maximin dynamic programming and the rate of discount (2019) 
Working Paper: On maximin dynamic programming and the rate of discount (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-02096484
DOI: 10.1007/s00199-018-1166-0
Access Statistics for this paper
More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().