Discounting Models for Outcomes over Continuous Time

Charles M. Harvey, Lars Peter Østerdal

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Abstrakt

Events that occur over a period of time can be described either as sequences of outcomes at discrete times or as functions of outcomes in an interval of time. This paper presents discounting models for events of the latter type. Conditions on preferences are shown to be satisfied if and only if the preferences are represented by a function that is an integral of a discounting function times a scale defined on outcomes at instants of time.
OriginalsprogEngelsk
TidsskriftJournal of Mathematical Economics
Vol/bind48
Udgave nummer5
Sider (fra-til)284–294
ISSN0304-4068
DOI
StatusUdgivet - 2012
Udgivet eksterntJa

Emneord

  • Continuous time
  • Integral discounting
  • Integral utility function

Citationsformater