Discounting Models for Outcomes over Continuous Time

Charles M. Harvey; Lars Peter Østerdal

doi:10.1016/j.jmateco.2012.07.001

Discounting Models for Outcomes over Continuous Time

Research output: Contribution to journal › Journal article › Research › peer-review

Abstract

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.

Original language	English
Journal	Journal of Mathematical Economics
Volume	48
Issue number	5
Pages (from-to)	284–294
ISSN	0304-4068
DOIs	https://doi.org/10.1016/j.jmateco.2012.07.001
Publication status	Published - 2012
Externally published	Yes

Keywords

Continuous time
Integral discounting
Integral utility function

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Cite this

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title = "Discounting Models for Outcomes over Continuous Time",

abstract = "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.",

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AB - 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.

KW - Continuous time

KW - Integral discounting

KW - Integral utility function

KW - Continuous time

KW - Integral discounting

KW - Integral utility function

U2 - 10.1016/j.jmateco.2012.07.001

DO - 10.1016/j.jmateco.2012.07.001

M3 - Journal article

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