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Optimal control in infinite horizon problems: A Sobolev space approach

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Author Info
LE VAN, Cuong
BOUCEKKINE, Raouf
SAGLAM, Cagri

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Abstract

In this paper, we make use of the Sobolev space W exp.1,1 (R+, R exp.n) to derive at once the Pontryagin conditions for the standard optimal growth model in continuous time, including a necessary and sufficient transversality condition. An application to the Ramsey model is given. We use an order ideal argument to solve the problem inherent to the fact that L exp.1 spaces have natural positive cones with no interior points.

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Paper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers with number 2004089.

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Date of creation: 01 Dec 2004
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Handle: RePEc:cor:louvco:2004089

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Related research
Keywords: optimal control; Sobolev spaces; transversality conditions; order ideal;

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C61 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Optimization Techniques; Programming Models; Dynamic Analysis

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  1. Benveniste, L. M. & Scheinkman, J. A., 1982. "Duality theory for dynamic optimization models of economics: The continuous time case," Journal of Economic Theory, Elsevier, vol. 27(1), pages 1-19, June. [Downloadable!] (restricted)
  2. Askenazy, Philippe & Le Van, Cuong, 1999. "A Model of Optimal Growth Strategy," Journal of Economic Theory, Elsevier, vol. 85(1), pages 24-51, March. [Downloadable!] (restricted)
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  3. Kamihigashi, Takashi, 2001. "Necessity of Transversality Conditions for Infinite Horizon Problems," Econometrica, Econometric Society, vol. 69(4), pages 995-1012, July.
  4. Ngo Van Long & Koji Shimomura, 2003. "A Note on Transversality Conditions," Discussion Paper Series 144, Research Institute for Economics & Business Administration, Kobe University. [Downloadable!]
  5. Bonnisseau, Jean-Marc & Le Van, Cuong, 1996. "On the subdifferential of the value function in economic optimization problems," Journal of Mathematical Economics, Elsevier, vol. 25(1), pages 55-73. [Downloadable!] (restricted)
  6. Mas-Colell, Andreu & Zame, William R., 1991. "Equilibrium theory in infinite dimensional spaces," Handbook of Mathematical Economics, in: W. Hildenbrand & H. Sonnenschein (ed.), Handbook of Mathematical Economics, edition 1, volume 4, chapter 34, pages 1835-1898 Elsevier. [Downloadable!] (restricted)
  7. Chichilnisky, Graciela, 1977. "Nonlinear functional analysis and optimal economic growth," MPRA Paper 7990, University Library of Munich, Germany. [Downloadable!]
  8. Araujo,A. & Monteiro,P.K., 1989. "General equilibrium with infinitely many goods: The case of seperable utilities," Discussion Paper Serie A 249, University of Bonn, Germany.
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