Dynamic programming with state-dependent discounting

• 成果类型: Article
• 署名作者: Stachurski, John; Zhang, Junnan
• 署名单位: Australian National University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2021.105190
• 发表日期: 2021
• 关键词: Dynamic Programming; optimality; State-dependent discounting

摘要

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. (C) 2021 Elsevier Inc. All rights reserved.