On Dynamic Programming in Economic Models Governed by DDEs

A family of optimal control problems for economic models, where state variables are driven by delay differential equations (DDEs) and subject to constraints, is treated by Bellman's dynamic programming in infinite dimensional spaces. An existence theorem is provided for the associated Hamilton-Jacobi-Bellman (HJB) equation: the value function of the control problem solves the HJB equation in a suitable sense (although such value function cannot be computed explicitly). An AK model with vintage capital and an advertising model with delay effect are taken as examples.