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Dynamic Games and Applications Seminar

Quasi-hyperbolic discounting in Markov decision processes


Mar 25, 2021   11:00 AM — 12:00 PM

Anna Jaśkiewicz Wrocław University of Science and Technology, Poland

Anna Jaśkiewicz

Webinar link
Webinar ID: 962 7774 9870
Passcode: 285404

The Markov decision processes under quasi-hyperbolic discounting are studied. This type of discounting nicely models human behaviour, which is time-inconsistent in the long run. The decision maker has preferences changing in time. Therefore, the standard approach based on the Bellman optimality principle fails. Within a dynamic game-theoretic framework, the existence of randomised stationary Markov perfect equilibria for a large class of Markov decision processes with transitions having a density function is proved. Moreover, under some additional conditions, this equilibrium can be replaced by a deterministic one. During the talk many examples will be discussed to illustrate our results, including a portfolio selection model with quasi-hyperbolic discounting.

Georges Zaccour organizer
Can Baris Cetin organizer
Utsav Sadana organizer


Online meeting
Montréal Québec

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