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On the Fragility of the Basis on the Hamilton-Jacobi-Bellman Equation in Economic Dynamics

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  • Yuhki Hosoya

Abstract

In this paper, we provide an example of the optimal growth model in which there exist infinitely many solutions to the Hamilton-Jacobi-Bellman equation but the value function does not satisfy this equation. We consider the cause of this phenomenon, and find that the lack of a solution to the original problem is crucial. We show that under several conditions, there exists a solution to the original problem if and only if the value function solves the Hamilton-Jacobi-Bellman equation. Moreover, in this case, the value function is the unique nondecreasing concave solution to the Hamilton-Jacobi-Bellman equation. We also show that without our conditions, this uniqueness result does not hold.

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  • Yuhki Hosoya, 2022. "On the Fragility of the Basis on the Hamilton-Jacobi-Bellman Equation in Economic Dynamics," Papers 2203.10595, arXiv.org, revised Jan 2024.
    • Handle: RePEc:arx:papers:2203.10595
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    3. David Cass, 1965. "Optimum Growth in an Aggregative Model of Capital Accumulation," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 32(3), pages 233-240.
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