Author : Lingfei Ni
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (897 download)
Book Synopsis Classic Optimal Control in Continuous Time with Applications in Economics by : Lingfei Ni
Download or read book Classic Optimal Control in Continuous Time with Applications in Economics written by Lingfei Ni and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This report shows the mathematics behind the solution to continuous time optimization problems. It shows how to specify the Hamiltonian function, how to use the Hamiltonian to obtain the optimal conditions for a typical economic optimal control problem and applies these techniques to several optimal control problems commonly encountered in macroeconomics. An appendix shows how to set up the optimal conditions for the case in which the state and co-state variables are both vectors. A second appendix shows how to approach the control situation for a system of optimal control problems where the co-state variable for the first sub-optimal control problem is the state variable for the second sub-optimal control problem.