On maximin dynamic programming and the rate of discount

Journal article: This article establishes a dynamic programming argument for a maximin optimization problem where the agent completes a minimization over a set of discount rates. Even though the consideration of a maximin criterion results in a program that is not convex and not stationary over time, it is proved that a careful reference to extended dynamic programming principles and a maxmin functional equation however allows for circumventing these difficulties and recovering an optimal sequence that is time consistent.

Author(s)

Jean-Pierre Drugeon, Thai Ha-Huy, Thi Do Hanh Nguyen

Journal
  • Economic Theory
Date of publication
  • 2019
Keywords JEL
C61 D90
Keywords
  • Policy function
  • Supermodularity
  • Value function
  • Non-convexities
  • Maximin principle
Pages
  • 703-729
Version
  • 1
Volume
  • 67