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On stochastic non-linear discounting
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DOI：10.1016/j.orl.2026.107412.png)
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Abstract
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We consider the problem of non-linear discounting in a stochastic setup, and show that it can be reduced to a standard stochastic optimal control problem with the total cost criterion. In doing so, we, not only prove the existence of an optimal strategy, but also indicate the method for constructing it. The application of this reduction result is demonstrated in the study of Markov decision processes.
Keywords:
Markov decision processes
Non-linear discount function
Reduction
Optimal strategy
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