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On Dynamic Programming in Economic Models Governed by DDEs

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Author Info

  • GIORGIO FABBRI
  • SILVIA FAGGIAN
  • FAUSTO GOZZI

Abstract

A family of optimal control problems for economic models, where state variables are driven by delay differential equations (DDEs) and subject to constraints, is treated by Bellman's dynamic programming in infinite dimensional spaces. An existence theorem is provided for the associated Hamilton-Jacobi-Bellman (HJB) equation: the value function of the control problem solves the HJB equation in a suitable sense (although such value function cannot be computed explicitly). An AK model with vintage capital and an advertising model with delay effect are taken as examples.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/08898480802440836
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Mathematical Population Studies.

Volume (Year): 15 (2008)
Issue (Month): 4 ()
Pages: 267-290

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Handle: RePEc:taf:mpopst:v:15:y:2008:i:4:p:267-290

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Related research

Keywords: delay differential equations; dynamic programming;

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