On some properties of the adjoint variable in the relations of the Pontryagin maximum principle for optimal economic growth problems

Aseev SM (2014). On some properties of the adjoint variable in the relations of the Pontryagin maximum principle for optimal economic growth problems. Proceedings of the Steklov Institute of Mathematics 278 (S1): 11-21. DOI:10.1134/S0081543814090028.

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Abstract

For a class of infinite-horizon optimal control problems that appear in studies on economic growth processes, the properties of the adjoint variable in the relations of the Pontryagin maximum principle, defined by a formula similar to the Cauchy formula for the solutions to linear differential systems, are studied. It is shown that under a dominating discount type condition the adjoint variable defined in this way satisfies both the core relations of the maximum principle (the adjoint system and the maximum condition) in the normal form and the complementary stationarity condition for the Hamiltonian. Moreover, a new economic interpretation of the adjoint variable based on this formula is presented.

Item Type: Article
Uncontrolled Keywords: Optimal economic growth problems; Infinite horizon; Pontryagin's maximum principle; Adjoint variable; Stationarity condition for the Hamiltonian
Research Programs: Advanced Systems Analysis (ASA)
Bibliographic Reference: Proceedings of the Steklov Institute of Mathematics; 287(Suppl.1):11-21 (December 2014)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 08:50
Last Modified: 02 Mar 2016 10:47
URI: http://pure.iiasa.ac.at/10804

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