Dynamic Programming with State-Dependent Discounting

Junnan Zhang

<div>This paper extends the core results of discrete time infinite horizon dynamic programming to the case of state-dependent discounting. We obtain a condition on the discount factor process under which all of the standard optimality results can be recovered. Our framework is general enough to handle complications such as recursive preferences and unbounded rewards. Economic and financial applications are discussed.</div> <div>&nbsp;</div> <div>The lecture will start with a short introduction to dynamic programming and then discuss more advanced topics covered in the paper.</div>

2021-06-03(Thursday)16:40-18:00

Room N302, Economics Building

English

厦门大学经济学院、王亚南经济研究院

厦门大学经济学院、王亚南经济研究院

系列讲座

Xiangyu Feng

<p>Junnan Zhang is a PhD candidate in economics at the Australian National University. His research interests include: mathematical economics, dynamic programming, and computational economics. He has published in Journal of Economic Theory, Journal of Mathematical Economics, and Jingji Yanjiu (Economic Research Journal). He will join Xiamen University as an assistant professor in economics in Fall 2021.</p>

经济学科学术新秀系列讲座第3讲