Dynamic programming with state-dependent discounting

This paper extends the core results of discrete time infinite horizon dynamic programming to the case of state-dependent discounting

John Stachurski; Junnan Zhang

2021

Scholarcy highlights

  • 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
  • We thank Damien Eldridge, Simon Grant, Timo Henckel, Fedor Iskhakov, Ruitian Lang, Andrzej Nowak, Ronald Stauber, the editor and two referees for many helpful comments and suggestions

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