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Non-Constant Discounting in Continuous Time

Larry Karp

Institute for Research on Labor and Employment, Working Paper Series from Institute of Industrial Relations, UC Berkeley

Abstract: This note 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.

Keywords: hyperbolic discounting; time consistency; Markov equilibria; non-uniqueness (search for similar items in EconPapers)
Date: 2005-01-11
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https://www.escholarship.org/uc/item/0nn1t22z.pdf;origin=repeccitec (application/pdf)

Related works:
Journal Article: Non-constant discounting in continuous time (2007) Downloads
Working Paper: Non-constant discounting in continuous time (2007) Downloads
Working Paper: Non-Constant Discounting in Continuous Time (2005) Downloads
Working Paper: Non-Constant Discounting in Continuous Time (2004) Downloads
Working Paper: Non-Constant Discounting in Continuous Time (2004) Downloads
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