On maximin dynamic programming and the rate of discount
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
PSE-Ecole d'économie de Paris (Postprint) from HAL
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)
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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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Journal Article: On maximin dynamic programming and the rate of discount (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:pseptp:halshs-02096484
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