Dynamic programming with state-dependent discounting
Date
2021
Authors
Stachurski, John
Zhang, Junnan
Journal Title
Journal ISSN
Volume Title
Publisher
Academic Press
Abstract
This paper extends the core results of discrete time infinite horizon dynamic programming to the case of state-dependent discounting. We obtain a condition on the discount factor process under which all of the standard optimality results can be recovered. We also show that the condition cannot be significantly weakened. Our framework is general enough to handle complications such as recursive preferences and unbounded rewards. Economic and financial applications are discussed.
Description
Keywords
Dynamic programming, Optimality, State-dependent discounting
Citation
Collections
Source
Journal of Economic Theory
Type
Journal article
Book Title
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Access Statement
License Rights
Restricted until
2099-12-31