In this paper we propose a multivariate discount weighted regression technique to give a tractable solution to the problem of variance estimation and forecasting for the multivariate local level model. We give the correspondence between discount regression and matrix normal dynamic linear models and we show that the local level model can be treated with discount regression techniques. We illust...

We consider a discounted dynamic program in which the spaces of states and actions are smooth (in a sense that is suitable for the problem at hand) manifolds. We give conditions that insure that the optimal policy and the value function are smooth functions of the state when the discount factor is small. In addition, these functions vary in a Lipschitz manner as the reward function-discount fac...

We investigate the existance of simple policies in finite discounted cost Markov Decision Processes, when the discount factor is not constant. We introduce a class called “exponentially representable” discount functions. Within this class we prove existence of optimal policies which are eventually stationary—from some time N onward, and provide an algorithm for their computation. Outside this c...

We describe the maximum efficient subgame perfect equilibrium payoff for a player in the repeated Prisoners’ Dilemma, as a function of the discount factor. For discount factors above a critical level, every efficient, feasible, individually rational payoff profile can be sustained. For an open and dense subset of discount factors below the critical value, the maximum efficient payoff is not an ...

This paper examines the relative importance of platform quality, indirect network effects, and consumer expectations on the success of entrants in platform-based markets. We develop a theoretical model and find that an entrant’s success depends on the strength of indirect network effects and on the consumers’ discount factor for future applications. We then illustrate the model’s applicability ...

This paper is concerned with the qualitative properties of optimal intertemporal programs in a model of point-input flow-output capital theory, when future utilities are discounted. Under a mild condition on the flow-output vector, we establish that optimal programs for every discount factor and every initial state (other than a unique stationary optimal state) will exhibit non-convergence. Fur...

Discount rates were estimated for Limited Resource Woodland Owners (LRWOs) in North Carolina and Virginia, using a survey that asked landowners to choose between two harvesting scenarios with different payment amounts and rotation lengths. Our innovative sampling frame resulted in a more diverse set of respondents, with high proportions of minority and small woodland owners. The estimated annua...

We consider repeated games with side-payments: players have an endowment of wealth in each period in which transfers can be made. We show that if endowments are large enough and the common discount factor high enough, then a strongly renegotiation–proof equilibrium (SRP) in the sense of Farrell and Maskin exists. As the discount factor goes to 1, the set of SRP payoffs converges to the set of e...

Markov Decision Processes with discounted cost are equivalent to processes with a finite, random duration, and hence the discount factor models a (random) time horizon for the life of the process. We elaborate on this idea, but show that an objective function which is a linear combination of several discounted costs (each with a different discount factor) does not, in general, model processes w...