On Temporal Aggregators and Dynamic Programming
Philippe Bich
- Fonction : Auteur
- PersonId : 12752
- IdHAL : philippe-bich
- ORCID : 0000-0001-9011-7437
- IdRef : 17634232X
Jean-Pierre Drugeon
- Fonction : Auteur
- PersonId : 1359205
- IdHAL : jean-pierre-drugeon
Résumé
This paper proposes dynamic programming tools for payoffs based on aggregating functions that depend on the current action and the future expected payoff. Some regularity properties are provided on the aggregator to establish existence, uniqueness and computation of the solution to the Bellman equation. Our setting allows to encompass and generalize many previous results based upon additive or non-additive payoff functions.
Domaines
Economies et financesFormat du dépôt | Fichier |
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Type de dépôt | Article dans une revue |
Résumé |
en
This paper proposes dynamic programming tools for payoffs based on aggregating functions that depend on the current action and the future expected payoff. Some regularity properties are provided on the aggregator to establish existence, uniqueness and computation of the solution to the Bellman equation. Our setting allows to encompass and generalize many previous results based upon additive or non-additive payoff functions.
|
Titre |
en
On Temporal Aggregators and Dynamic Programming
|
Auteur(s) |
Philippe Bich
1, 2
, Jean-Pierre Drugeon
1, 3
, Lisa Morhaim
4
1
PSE -
Paris School of Economics
( 301309 )
- 48 boulevard Jourdan 75014 Paris
- France
2
CES -
Centre d'économie de la Sorbonne
( 15080 )
- Maison des Sciences Économiques - 106-112 Boulevard de l'Hôpital - 75647 Paris Cedex 13
- France
3
PJSE -
Paris Jourdan Sciences Economiques
( 1171428 )
- 48 boulevard Jourdan 75014 Paris
- France
4
CRED -
Centre de Recherche en Economie et Droit
( 422772 )
- Centre Valette,
19-21 rue Valette / Rez-de-jardin,
75005 Paris
- France
|
Date de publication |
2018-10
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Date de publication électronique |
2017-04-19
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Volume |
66
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Page/Identifiant |
787–817
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Vulgarisation |
Non
|
Nom de la revue |
|
Langue du document |
Anglais
|
Comité de lecture |
Oui
|
Audience |
Internationale
|
URL éditeur |
https://link.springer.com/article/10.1007%2Fs00199-017-1045-0
|
Mots-clés (JEL) |
|
Domaine(s) |
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Projet(s) ANR |
|
Mots-clés |
en
Temporal Aggregators, Intertemporal Choice, Dynamic Programming
|
DOI | 10.1007/s00199-017-1045-0 |
Origine :
Fichiers produits par l'(les) auteur(s)
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