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Non-constant Discounting in Continuous Time

Karp, L.S. (2007) Non-constant Discounting in Continuous Time Journal of Economic Theory, 132, (1), pp. 557-568. (doi:10.1016/j.jet.2005.07.006).

Record type: Article


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.

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Published date: 2007
Keywords: hyperbolic discounting, time consistency, markov equilibria, non-uniqueness, observational equivalence, pareto efficiency


Local EPrints ID: 39702
ISSN: 0022-0531
PURE UUID: 30caec4a-9e6f-4ce7-acb0-65e71a97bd3a

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Date deposited: 29 Jun 2006
Last modified: 17 Jul 2017 15:35

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Author: L.S. Karp

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