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Constructing the Optimal Solutions to the Undiscounted Continuous-Time Infinite Horizon Optimization Problems

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Author Info
Dapeng CAI (Institute for Advanced Research, Nagoya University, Nagoya, Japan)
Takashi Gyoshin NITTA (Department of Mathematics, Faculty of Education, Mie University, Tsu, Japan)
Abstract

We aim to construct the optimal solutions to the undiscounted continuous-time infinite horizon optimization problems, the objective functionals of which may be unbounded. We identify the condition under which the limit of the solutions to the finite horizon problems is optimal for the infinite horizon problems under the overtaking criterion.

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File URL: http://arxiv.org/abs/0803.4046
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Paper provided by arXiv.org in its series Quantitative Finance Papers with number 0803.4046.

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Date of creation: Mar 2008
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Handle: RePEc:arx:papers:0803.4046

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  1. Kamihigashi, Takashi, 2001. "Necessity of Transversality Conditions for Infinite Horizon Problems," Econometrica, Econometric Society, vol. 69(4), pages 995-1012, July.
  2. Weitzman, Martin L., 1998. "Why the Far-Distant Future Should Be Discounted at Its Lowest Possible Rate," Journal of Environmental Economics and Management, Elsevier, vol. 36(3), pages 201-208, November. [Downloadable!] (restricted)
  3. Cuong Le Van & Lisa Morhaim, 2006. "On optimal growth models when the discount factor is near 1 or equal to 1," International Journal of Economic Theory, The International Society for Economic Theory, vol. 2(1), pages 55-76. [Downloadable!] (restricted)
  4. Heal, G., 1998. "Valuing the Future: Economic Theory and Sustainability," Papers 98-10, Columbia - Graduate School of Business.
  5. Michel, Philippe, 1990. "Some Clarifications on the Transversality Condition," Econometrica, Econometric Society, vol. 58(3), pages 705-23, May. [Downloadable!] (restricted)
  6. Cuong Le Van & Lisa Morhaim, 2006. "On optimal growth models when the discount factor is near 1 or equal to 1," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00096034_v1, HAL. [Downloadable!]
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