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On maximin dynamic programming and the rate of discount

Abstract : 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.
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Contributor : Caroline Bauer <>
Submitted on : Thursday, April 11, 2019 - 1:13:32 PM
Last modification on : Friday, July 2, 2021 - 4:19:50 PM



Jean-Pierre Drugeon, Thai Ha-Huy, Thi Do Hanh Nguyen. On maximin dynamic programming and the rate of discount. Economic Theory, Springer Verlag, 2019, 67 (3), pp.703-729. ⟨10.1007/s00199-018-1166-0⟩. ⟨halshs-02096484⟩



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