On Dynamic Programming in Economic Models Governed by DDEs
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Publication:3605219
DOI10.1080/08898480802440836zbMATH Open1155.91428arXivmath/0606344OpenAlexW2902017027MaRDI QIDQ3605219FDOQ3605219
Authors: Giorgio Fabbri, Silvia Faggian, Fausto Gozzi 
Publication date: 23 February 2009
Published in: Mathematical Population Studies (Search for Journal in Brave)
Abstract: In this paper we consider a family of optimal control problems for economic models whose state variables are driven by Delay Differential Equations (DDE's). We consider two main examples: an AK model with vintage capital and an advertising model with delay effect. These problems are very difficult to treat for three main reasons: the presence of the DDE's, that makes them infinite dimensional; the presence of state constraints; the presence of delay in the control. Our main goal is to develop, at a first stage, the Dynamic Programming approach for this family of problems. The Dynamic Programming approach has been already used for similar problems in cases when it is possible to write explicitly the value function V. Here we deal with cases when the explicit form of V cannot be found, as most often occurs. We carefully describe the basic setting and give some first results on the solution of the Hamilton-Jacobi-Bellman (HJB) equation as a first step to find optimal strategies in closed loop form.
Full work available at URL: https://arxiv.org/abs/math/0606344
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Cited In (11)
- A note on a new class of solutions to dynamic programming problems arising in economic growth
- On the optimal control of a linear neutral differential equation arising in economics
- Hamilton-Jacobi-Bellman equations for the optimal control of a state equation with memory
- Logistic tumor growth with delay and impulsive treatment
- MODELLING VINTAGE STRUCTURES WITH DDEs: PRINCIPLES AND APPLICATIONS
- Dynamic programming for optimal control problems with delays in the control variable
- Using dynamic programming with adaptive grid scheme for optimal control problems in economics
- Some structured dynamic programs arising in economics
- Solving optimal growth models with vintage capital: The dynamic programming approach
- Application of dynamic programming to economic problems with vintage capital
- Analysis of a Numerical Dynamic Programming Algorithm Applied to Economic Models
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