Non-constant Discounting in Continuous Time
Karp, L.S. (2007) Non-constant Discounting in Continuous Time. Journal of Economic Theory, 132, (1), 557-568. (doi:10.1016/j.jet.2005.07.006).
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Description/Abstract
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.
| Item Type: | Article |
|---|---|
| ISSNs: | 0022-0531 (print) |
| Related URLs: | |
| Keywords: | hyperbolic discounting, time consistency, markov equilibria, non-uniqueness, observational equivalence, pareto efficiency |
| Subjects: | S Agriculture > S Agriculture (General) H Social Sciences > HB Economic Theory H Social Sciences > HD Industries. Land use. Labor |
| Divisions: | University Structure - Pre August 2011 > School of Social Sciences > Economics |
| Item ID: | 39702 |
| Date Deposited: | 29 Jun 2006 |
| Last Modified: | 01 Jun 2011 06:48 |
| Contributors: | Karp, L.S. (Author) |
| Date: | 2007 |
| Status: | Published |
| Contact Email Address: | karp@are.berkeley.edu |
| URI: | http://eprints.soton.ac.uk/id/eprint/39702 |
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