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Transversality Conditions for Higher Order Infinite Horizon Discrete Time Optimization Problems

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  • Dapeng Cai
  • Takashi Gyoshin Nitta

Abstract

In this paper, we examine higher order difference problems. Using the "squeezing" argument, we derive both Euler's condition and the transversality condition. In order to derive the two conditions, two needed assumptions are identified. A counterexample, in which the transversality condition is not satisfied without the two assumptions, is also presented.

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  • Dapeng Cai & Takashi Gyoshin Nitta, 2010. "Transversality Conditions for Higher Order Infinite Horizon Discrete Time Optimization Problems," Papers 1004.3093, arXiv.org.
    • Handle: RePEc:arx:papers:1004.3093
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    File URL: http://arxiv.org/pdf/1004.3093
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    Cited by:

    1. Natália Martins & Delfim F. M. Torres, 2012. "Necessary Optimality Conditions for Higher-Order Infinite Horizon Variational Problems on Time Scales," Journal of Optimization Theory and Applications, Springer, vol. 155(2), pages 453-476, November.
    2. Dapeng Cai & Takashi Gyoshin Nitta, 2012. "Transversality Conditions for Stochastic Higher-Order Optimality: Continuous and Discrete Time Problems," Papers 1203.3869, arXiv.org.

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