Economics at your fingertips  

On maximin dynamic programming and the rate of discount

Jean-Pierre Drugeon, Thai Ha-Huy () and Thi Do Hanh Nguyen
Additional contact information
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

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:
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Published in Economic Theory, Springer Verlag, 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) Downloads
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:

DOI: 10.1007/s00199-018-1166-0

Access Statistics for this paper

More papers in PSE-Ecole d'économie de Paris (Postprint) from HAL
Bibliographic data for series maintained by Caroline Bauer ().

Page updated 2020-09-19
Handle: RePEc:hal:pseptp:halshs-02096484