Template-type: ReDIF-Paper 1.0
Author-Name: Montrucchio, Luigi
Author-Email:luigi.montrucchio@unito.it
Author-Name: Privileggi, Fabio
Author-Email: fabio.privileggi@unito.it
Author-Workplace-Name: University of Turin
Author-Workplace-Homepage: http://www.est.unito.it/
Title: Negative dynamic programming with non-additively time-separable objectives.
Abstract: A class of intertemporal optimization models characterized by a recursive objective
functional obtained as the limit of iterations of the Koopmans aggregator is considered.
We focus on negative dynamic programming problems in which aggregators may be un-
bounded from below and establish existence of an optimal solution under the assumption
of strong concavity for the aggregator, both in the deterministic and in the stochastic settings.
Length: pages 30
Creation-Date: 2024-03
File-URL: https://www.est.unito.it/do/home.pl/Download?doc=/allegati/wp2024dip/wp_04_2024.pdf
File-Format: Application/PDF
Handle: RePEc:uto:dipeco:202404