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DC Field | Value | Language |
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dc.contributor.author | Marín Solano, Jesús | cat |
dc.contributor.author | Navas, Jorge | cat |
dc.date.accessioned | 2010-04-08T10:04:45Z | - |
dc.date.available | 2010-04-08T10:04:45Z | - |
dc.date.issued | 2007 | - |
dc.identifier.uri | http://hdl.handle.net/2445/11994 | - |
dc.description.abstract | This paper derives the HJB (Hamilton-Jacobi-Bellman) equation for sophisticated agents in a finite horizon dynamic optimization problem with non-constant discounting in a continuous setting, by using a dynamic programming approach. A simple example is used in order to illustrate the applicability of this HJB equation, by suggesting a method for constructing the subgame perfect equilibrium solution to the problem. Conditions for the observational equivalence with an associated problem with constant discounting are analyzed. Special attention is paid to the case of free terminal time. Strotz¿s model (an eating cake problem of a nonrenewable resource with non-constant discounting) is revisited. | eng |
dc.description.abstract | - En este trabajo se deriva la ecuación de Hamilton-Jacobi-Bellman (HJB) para un agente sofisticado en un problema de optimización dinámica en tiempo continuo con horizonte finito, cuando la tasa de descuento de preferencia temporal es no constante, mediante la resolución de un problema de programación dinámica. Un sencillo ejemplo sirve para ilustrar la aplicabilidad de esta ecuación HJB. En particular, en el mismo se sugiere un método para construir el equilibrio perfecto en subjuegos solución del problema. El caso de tiempo final libre recibe una especial atención. Finalmente, se revisa el modelo de Strotz (un problema tipo "eating cake" de un recurso no renovable con descuento no constante). | spa |
dc.format.extent | 29 p. | - |
dc.format.extent | 224903 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | eng |
dc.publisher | Universitat de Barcelona. Facultat d'Economia i Empresa | cat |
dc.relation.isformatof | Reproducció digital del document publicat a http://www.ere.ub.es/dtreball/E07183.rdf/view | cat |
dc.relation.ispartof | Documents de treball (Facultat d'Economia i Empresa. Espai de Recerca en Economia), 2007, E07/183 | cat |
dc.relation.ispartofseries | [WP E-Eco07/183] | - |
dc.rights | cc-by-nc-nd, (c) Marín-Solano et al., 2007 | - |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ | - |
dc.source | UB Economics – Working Papers [ERE] | - |
dc.subject.classification | Equacions de Hamilton-Jacobi | cat |
dc.subject.classification | Programació dinàmica | cat |
dc.subject.classification | Optimització matemàtica | cat |
dc.subject.classification | Teoria de control | cat |
dc.subject.other | Hamilton-Jacobi equations | eng |
dc.subject.other | Dynamic programming | eng |
dc.subject.other | Mathematical optimization | eng |
dc.subject.other | Control theory | eng |
dc.title | Non-constant discounting in finite horizon: The free terminal time case | eng |
dc.type | info:eu-repo/semantics/workingPaper | eng |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
Appears in Collections: | Documents de treball (Matemàtica Econòmica, Financera i Actuarial) UB Economics – Working Papers [ERE] |
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