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Non-constant discounting in continuous time

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  • Karp, L

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. (c) 2005 Published by Elsevier Inc.

Suggested Citation

  • Karp, L, 2007. "Non-constant discounting in continuous time," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt8d52f6w7, Department of Agricultural & Resource Economics, UC Berkeley.
    • Handle: RePEc:cdl:agrebk:qt8d52f6w7
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    References listed on IDEAS

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