RISK ESTIMATION FOR LINEAR ECONOMIC SYSTEMS UNDER NEGATIVE TIME PREFERENCES
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RISK ESTIMATION FOR LINEAR ECONOMIC SYSTEMS UNDER NEGATIVE TIME PREFERENCES
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PII
S042473880000616-6-1
Publication type
Article
Status
Published
Pages
99-116
Abstract

We consider stochastic linear economic control system with a quadratic cost function taking into account the agents’ negative time preferences that can be represented by increasing discount function. We give a defi nition of average optimality over an infi nite time horizon for such a system. Risk of using the obtained optimal control law is estimated. The results are applied to an ecological-economic model.

Keywords
linear stochastic system, negative time preference, infi nite planning horizon
Date of publication
01.06.2013
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1
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931
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