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

Source

Journal of Economic Theory

Type

Journal article

Book Title

Entity type

Access Statement

License Rights

Restricted until

2099-12-31