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
Keywords
- Policy function
- Supermodularity
- Value function
- Non-convexities
- Maximin principle
Pages
- 703-729
URL of the HAL notice
Version
- 1
Volume
- 67