On Variable Discounting in Dynamic Programming: Applications to Resource Extraction and Other Economic Models

Anna Jaśkiewicz, Janusz Matkowski () and Andrzej Nowak

MPRA Paper from University Library of Munich, Germany

Abstract: This paper generalizes the classical discounted utility model introduced by Samuelson by replacing a constant discount rate with a function. The existence of recursive utilities and their constructions are based on Matkowski's extension of the Banach Contraction Principle. The derived utilities go beyond the class of recursive utilities studied in the literature and enable a discussion on subtle issues concerning time preferences in the theory of finance, economics or psychology. Moreover, our main results are applied to the theory of optimal growth with unbounded utility functions.

Keywords: Dynamic; programming; Variable; discounting; Bellman; equation (search for similar items in EconPapers)
JEL-codes: C61 D90 (search for similar items in EconPapers)
Date: 2011-01-05, Revised 2011-05-24
New Economics Papers: this item is included in nep-dge and nep-evo
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Journal Article: On variable discounting in dynamic programming: applications to resource extraction and other economic models (2014)
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