A utility maximisation problem on multiple time scales

DOI10.1504/IJDSDE.2011.038495MaRDI QIDQ2429741zbMATH OpenOpenAlexFDO

Authors Ferhan M. Atıcı, Alex Lebedinsky, Daniel C. Biles

Publication date 1 April 2011

Published in International Journal of Dynamical Systems and Differential Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1504/ijdsde.2011.038495

zbMATH Keywords

calculus of variationsdelta derivativedynamic modelsoptimisationtime scales

Mathematics Subject Classification ID

Existence theories for optimal control problems involving relations other than differential equations (49J21) Time-scale analysis and singular perturbations in control/observation systems (93C70)

Review text

Summary: We present a technique for a dynamic optimisation problem in which the value function and constraints can be on different time scales. Using this technique we solve a perfect-foresight utility maximisation problem for a finitely-lived consumer while making very general assumptions about timing of consumption and investing decisions.

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(5)

• First order conditions for generalized variational problems over time scales
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• Sufficiency and sensitivity for nonlinear optimal control problems on time scales via coercivity
• The investigation of a wealth distribution model on isolated discrete time domains
• Sequential decision problems on isolated time domains

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