Marín-Solano, Jesús; Navas, Jorge - In: Journal of Economic Dynamics and Control 33 (2009) 3, pp. 666-675
This paper derives the HJB (Hamilton-Jacobi-Bellman) equation for sophisticated agents in a finite horizon dynamic optimization problem with non-constant discounting in a continuous setting, by using a dynamic programming approach. Special attention is paid to the case of free terminal time....