•   •   •   •

Tell a colleague about it. Printing Tips: Select 'print as image' in the Acrobat print dialog if you have trouble printing.

There is no PDF file available for download.

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.

SUGGESTED CITATION:
Larry Karp, "Non-Constant Discounting in Continuous Time" (January 11, 2005). Institute for Research on Labor and Employment. Institute for Research on Labor and Employment Working Paper Series. Paper iirwps-132-06.
http://repositories.cdlib.org/iir/iirwps/iirwps-132-06