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Discounting Models for Outcomes over Continuous Time

Author

Listed:
  • Charles M. Harvey

    (University of Houston)

  • Lars Peter Østerdal

    (Department of Economics, University of Copenhagen)

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.

Suggested Citation

  • Charles M. Harvey & Lars Peter Østerdal, 2011. "Discounting Models for Outcomes over Continuous Time," Discussion Papers 11-12, University of Copenhagen. Department of Economics.
    • Handle: RePEc:kud:kuiedp:1112
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    Cited by:

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    2. Drouhin, Nicolas, 2020. "Non-stationary additive utility and time consistency," Journal of Mathematical Economics, Elsevier, vol. 86(C), pages 1-14.
    3. Marcus Pivato, 2021. "Intertemporal Choice with Continuity Constraints," Mathematics of Operations Research, INFORMS, vol. 46(3), pages 1203-1229, August.
    4. Lorenzo Bastianello & Vassili Vergopoulos, 2024. "Discounted Subjective Expected Utility in Continuous Time," Papers 2403.15319, arXiv.org.
    5. Webb, Craig S., 2016. "Continuous quasi-hyperbolic discounting," Journal of Mathematical Economics, Elsevier, vol. 64(C), pages 99-106.
    6. Hara, Kazuhiro, 2016. "Characterization of stationary preferences in a continuous time framework," Journal of Mathematical Economics, Elsevier, vol. 63(C), pages 34-43.
    7. Pavlo Blavatskyy, 2020. "Expected discounted utility," Theory and Decision, Springer, vol. 88(2), pages 297-313, March.

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