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Hamilton-Jacobi-Bellman equation with multiple equilibria

Author

Listed:
  • Malte Sieveking

Abstract

The paper presents a correctnes proof as well as an implementation in maple of an algorithm to compute the value function of infinite horizon optimal control problems with a single state variable. It proceeds as follows: step1:compute candidates for equilibria(from the HJB); step2:for each candidate as initial value solve the corresponding ODE initial value problem derived from the HJB; step3: take the max of all these solutions.It is the value function. The algorithm avoids iterations and shows equilibria and Skiba points, if they exist. solutions

Suggested Citation

  • Malte Sieveking, 2001. "Hamilton-Jacobi-Bellman equation with multiple equilibria," Computing in Economics and Finance 2001 68, Society for Computational Economics.
    • Handle: RePEc:sce:scecf1:68
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    More about this item

    Keywords

    Hamilton -Jacobi-Bellman equation; multiple equilibria;

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
    • C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs

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