Non-constant discounting in continuous time

• 成果类型: Article
• 署名作者: Karp, Larry
• 署名单位: University of California System; University of California Berkeley
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2005.07.006
• 发表日期: 2007
• 页码: 557-568
• 关键词: Hyperbolic discounting; time consistency; Markov equilibria; non-uniqueness; observational equivalence; Pareto efficiency

摘要

This paper derives the dynamic programming equation (DPE) to a differentiable Markov Perfect equilibrium in a problem with non-constant discounting and general functional forms. Beginning with a discrete stage model and taking the limit as the length of the stage goes to 0 leads to the DPE corresponding to the continuous time problem. The note discusses the multiplicity of equilibria under non-constant discounting, calculates the bounds of the set of candidate steady states, and Pareto ranks the equilibria. (c) 2005 Published by Elsevier Inc.