In this paper we study an optimal control problem with mixed constraints related to a multisector linear model with endogenous growth. The main aim is to establish a set of necessary and a set of sufficient conditions which are the basis for studying the qualitative properties of optimal trajectories. The presence of possibly degenerate mixed constraints, the unboundedness and nonstrict convexity of the Hamiltonian, make the problem difficult to deal with. We develop first the dynamic programming approach, proving that the value function is a bilateral viscosity solution to the associated Hamilton-Jacobi-Bellman (HJB) equation. Then, using our results, we give a set of sufficient and a set of necessary optimality conditions which involve so-called co-state inclusion: this can be interpreted as the existence of a dual path of prices supporting the optimal path.

Optimal strategies in linear multisector models: Value function and optimality conditions

PIGNOTTI, CRISTINA
2008-01-01

Abstract

In this paper we study an optimal control problem with mixed constraints related to a multisector linear model with endogenous growth. The main aim is to establish a set of necessary and a set of sufficient conditions which are the basis for studying the qualitative properties of optimal trajectories. The presence of possibly degenerate mixed constraints, the unboundedness and nonstrict convexity of the Hamiltonian, make the problem difficult to deal with. We develop first the dynamic programming approach, proving that the value function is a bilateral viscosity solution to the associated Hamilton-Jacobi-Bellman (HJB) equation. Then, using our results, we give a set of sufficient and a set of necessary optimality conditions which involve so-called co-state inclusion: this can be interpreted as the existence of a dual path of prices supporting the optimal path.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11697/13085
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