Negative dynamic programming with non-additively time-separable objectives

Luigi Montrucchio () and Fabio Privileggi

Department of Economics and Statistics Cognetti de Martiis. Working Papers from University of Turin

Abstract: A class of intertemporal optimization models characterized by a recursive objective functional obtained as the limit of iterations of the Koopmans aggregator is considered. We focus on negative dynamic programming problems in which aggregators may be un- bounded from below and establish existence of an optimal solution under the assumption of strong concavity for the aggregator, both in the deterministic and in the stochastic settings.

Pages: pages 30
Date: 2024-03
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