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On stochastic non-linear discounting

Ė. L. Presman & Yi Zhang

Operations Research Letters2026https://doi.org/10.1016/j.orl.2026.107412article
AJG 2ABDC B
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0.50

What the paper says

We consider the problem of non-linear discounting in a stochastic formulation, and show that under some natural assumptions it reduces to a standard stochastic optimal control problem with minimizing total costs. The idea of such a reduction appeared in Piunovskiy, Presman, Zhang and Zheng (Annals of Operations Research, 2025, in press, doi.org/10.1007/s10479-025-06540-9). Here we present a more general formulation. Moreover, for the resulting stochastic optimal control problem, we, not only prove the existence of an optimal strategy, but also indicate the method for constructing it.

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https://doi.org/https://doi.org/10.1016/j.orl.2026.107412

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@article{ė.2026,
  title        = {{On stochastic non-linear discounting}},
  author       = {Ė. L. Presman & Yi Zhang},
  journal      = {Operations Research Letters},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.1016/j.orl.2026.107412},
}

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On stochastic non-linear discounting

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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