On Maximin Optimization Problems & the Rate of Discount: a Simple Dynamic Programming Argument
Résumé
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. This in its turn brings about a stationary dynamic programming argument.
Domaines
Economies et financesOrigine | Fichiers produits par l'(les) auteur(s) |
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