Related papers: Rational hyperbolic discounting
A firm that sells a non perishable product considers intertemporal price discrimination in the objective of maximizing its long-run average revenue. We consider a general model of patient customers with changing valuations. Arriving…
We consider an ordinary differential equation with a unique hyperbolic attractor at the origin, to which we add a small random perturbation. It is known that under general conditions, the solution of this stochastic differential equation…
The probability that a symmetric random walk in a hyperbolic group reaches a proper power has the same exponential rate of decay as the probability of return to the identity.
Under non-exponential discounting, we develop a dynamic theory for stopping problems in continuous time. Our framework covers discount functions that induce decreasing impatience. Due to the inherent time inconsistency, we look for…
In this paper, we introduce the concept of hyperbolic valued random variables, their expectation and moments. We develop the hyperbolic analogue of Binomial and Poisson distributions. We study some of the properties of expectation on the…
We study an optimal stopping problem under non-exponential discounting, where the state process is a multi-dimensional continuous strong Markov process. The discount function is taken to be log sub-additive, capturing decreasing impatience…
We study the identification of dynamic discrete choice models with sophisticated, quasi-hyperbolic time preferences under exclusion restrictions. We consider both standard finite horizon problems and empirically useful infinite horizon…
This essay looks at decision-making with interval-valued probability measures. Existing decision methods have either supplemented expected utility methods with additional criteria of optimality, or have attempted to supplement the…
We consider a general class of non-linear Bellman equations. These open up a design space of algorithms that have interesting properties, which has two potential advantages. First, we can perhaps better model natural phenomena. For…
The desirable gambles framework provides a foundational approach to imprecise probability theory but relies heavily on linear utility assumptions. This paper introduces function-coherent gambles, a generalization that accommodates…
Processes (MDPs) often require frequent decision making, that is, taking an action every microsecond, second, or minute. Infinite horizon discount reward formulation is still relevant for a large portion of these applications, because…
Existing mathematical models of delay discounting (e. g. exponential model, hyperbolic model, and those derived from nonextensive statistics) consider impulsivity as a single entity. However, the present article derives a novel mathematical…
This paper considers the portfolio management problem of optimal investment, consumption and life insurance. We are concerned with time inconsistency of optimal strategies. Natural assumptions, like different discount rates for consumption…
Discounting is an important dimension in multi-agent systems as long as we want to reason about strategies and time. It is a key aspect in economics as it captures the intuition that the far-away future is not as important as the near…
Each period, two players bargain over a unit of surplus. Each player chooses between remaining flexible and committing to a take-it-or-leave-it offer at a cost. If players' committed demands are incompatible, then the current-period surplus…
This paper considers behavior-based price discrimination in the repeated sale of a non-durable good to a single long-lived buyer, by a seller without commitment power. We assume that there is a mixed population of forward-looking…
This paper investigates how the discount factor and payoff functions can be identified in stationary infinite-horizon dynamic discrete choice models. In single-agent models, we show that common nonparametric assumptions on per-period…
We address the problem of understanding from first principles the conditions under which a quantum system equilibrates rapidly with respect to a concrete observable. On the one hand previously known general upper bounds on the time scales…
We analyze waiting times for price changes in a foreign currency exchange rate. Recent empirical studies of high frequency financial data support that trades in financial markets do not follow a Poisson process and the waiting times between…
When information acquisition is costly but flexible, a principal may rationally acquire information that favors one group over another. The former group faces incentives to invest in becoming productive, while the latter is discouraged from…