Costate variables correctly value stocks at each instant (Q1092786)
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English | Costate variables correctly value stocks at each instant |
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Costate variables correctly value stocks at each instant (English)
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1987
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We prove this often mentioned result by showing that the marginal rate of increase of the maximand of a control problem with respect to the level of stock at any instant in the interior of the horizon is the value of the associated costate variable at that instant. This implies as a corollary that the marginal gain to be made over the future is the same as could be made over past and future.
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marginal rate of increase
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