| 来源类型 | Article |
| 规范类型 | 其他 |
| DOI | 10.1070/RM2012v067n02ABEH004785 |
| Infinite-horizon optimal control problems in economics. | |
| Aseev SM; Besov KO; Kryazhimskiy AV | |
| 发表日期 | 2012 |
| 出处 | Russian Mathematical Surveys 67 (2): 195-253 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | This paper extends optimal control theory to a class of infinite-horizon problems that arise in studying models of optimal dynamic allocation of economic resources. In a typical problem of this sort the initial state is fixed, no constraints are imposed on the behaviour of the admissible trajectories at large times, and the objective functional is given by a discounted improper integral. We develop the method of finite-horizon approximations in a broad context and use it to derive complete versions of the Pontryagin maximum principle for such problems. We provide sufficient conditions for the normality of infinite-horizon optimal control problems and for the validity of the 'standard' limit transversality conditions with time going to infinity. As a meaningful example, we consider a new two-sector model of optimal economic growth subject to a random jump in prices. |
| 主题 | Advanced Systems Analysis (ASA) |
| 关键词 | Dynamic optimization Pontryagin maximum principle Infinite horizon Transversality conditions at infinity Optimal economic growth |
| URL | http://pure.iiasa.ac.at/id/eprint/9921/ |
| 来源智库 | International Institute for Applied Systems Analysis (Austria) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/129520 |
| 推荐引用方式 GB/T 7714 | Aseev SM,Besov KO,Kryazhimskiy AV. Infinite-horizon optimal control problems in economics.. 2012. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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