On some properties of the adjoint variable in the relations of the Pontryagin maximum principle for optimal economic growth problems (Q2514851)

The author studies classical optimal control problems which appear often in the economic literature concerning growth: maximizing the functional \(\int_0^\infty e^{-\rho t}g(x(t), u(t))dt\), where \(x\) is a solution to the differential equation \(\dot{x}(t)=f(x(t), u(t))\) and \(u(t)\) is the control. The author considers the problem with infinite horizon, in which case the standard transversality conditions may fail. The author considers the linearized version of the differential equation along the optimal path and defines the adjoint variable in terms of the solution to this system. In the main result (Theorem 2) the author shows that the such defined adjoint variable satisfies the main properties of the adjoint variable in the Pontryagin maximum principle. In particular, it is a solution of the adjoint system and the maximum condition together with the stationarity of the Hamiltonian hold. At the end, the author gives a new economic interpretation of the adjoint variable. Using the theorem on the differentiability of a solution to a Cauchy problem with respect to the initial condition, he shows that it can be interpreted as a current value of all future ``mariginal intertemporal utilities''. The last ones are defined in terms of the influence of the current infinitesimal change in the state variable on a future utility.