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2021
Problems with non-exponential discounting constitute an important subclass of the family of time-inconsistent problems. To see how the general theory works in a more concrete case, we now consider a fairly general model class with non-exponential discounting.
Tomas Björk +2 more
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Problems with non-exponential discounting constitute an important subclass of the family of time-inconsistent problems. To see how the general theory works in a more concrete case, we now consider a fairly general model class with non-exponential discounting.
Tomas Björk +2 more
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Discounted probability of exponential parisian ruin: Diffusion approximation
Journal of Applied Probability, 2022AbstractWe analyze the discounted probability of exponential Parisian ruin for the so-called scaled classical Cramér–Lundberg risk model. As in Cohen and Young (2020), we use the comparison method from differential equations to prove that the discounted probability of exponential Parisian ruin for the scaled classical risk model converges to the ...
Xiaoqing Liang, Virginia R. Young
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A generalization of the -exponential discounting function
Physica A: Statistical Mechanics and its Applications, 2013zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Cruz Rambaud, Salvador +1 more
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Time is Money: Arithmetic Discounting Outperforms Hyperbolic and Exponential Discounting
SSRN Electronic Journal, 2010Hyperbolic discounting (H) is currently the dominant behavioral model of intertemporal choice, since it better explains how people behave than the normatively correct exponential discounting model (E). This paper promotes an arithmetic discounting model (A) which challenges H.
John R. Doyle, Catherine Huirong Chen
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Temporal Neutrality Implies Exponential Temporal Discounting
Philosophy of Science, 2023AbstractHow should one discount utility across time? The conventional wisdom in social science is that one should use an exponential discount function. Such a function is a representation of the axioms that provide a well-defined utility function plus a condition known as stationarity.
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Renegotiation and dynamic inconsistency: Contracting with non-exponential discounting
Journal of Economic Theory, 2023zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Doruk Cetemen +2 more
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Discounted linear exponential quadratic Gaussian control
IEEE Transactions on Automatic Control, 1995Summary: In this note, we describe a recursive formulation of discounted costs for a linear quadratic exponential Gaussian linear regulator problem which implies time-invariant linear decision rules in the infinite horizon case. Time invariance in the discounted case is attained by surrendering state-separability of the risk-adjusted ...
Hansen, Lars Peter, Sargent, Thomas J.
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