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The paper develops a version of Pontryagin's maximum principle for optimal control problems with monotonicity constraints on control variables. Whereas the literature handles such constraints by imposing an assumption of piecewise smoothness on the control variable and treating the slope of this...
Persistent link: https://www.econbiz.de/10010264833
We consider a class of N-player stochastic games of multi-dimensional singular control, in which each player faces a minimization problem of monotone-follower type with submodular costs. We call these games monotone-follower games. In a not necessarily Markovian setting, we establish the...
Persistent link: https://www.econbiz.de/10012042144
In the early 70s Merton developed a theory based on economic arguments to study the properties of option and warrant prices. The main tool in his proofs was the portfolio dominance principle. In the context where the price of a contingent claim satisfies a partial differential equation we...
Persistent link: https://www.econbiz.de/10004974510
In this paper we analyze the influence of several types of fiscal policies on the process of economic growth, namely on the rate of growth of consumption. We formulate and analyze two types of economic growth models. The first refers to the way in which a consumer-producer agent takes decisions...
Persistent link: https://www.econbiz.de/10005036718
The paper analyses the way in which monetary and fiscal policy influences the performances of economic growth and social welfare. The analysis is made on the basis of a dynamic model with discrete variables. The model is with a representative private agent and a government sector consisting of a...
Persistent link: https://www.econbiz.de/10005036720
We offer simple and intuitive proofs of the Euler equation and the maximum principle based on Gossen's Second Law, one of the best known results in economics.
Persistent link: https://www.econbiz.de/10005064162
The paper develops a version of Pontryagin's maximum principle for optimal control problems with monotonicity constraints on control variables. Whereas the literature handles such constraints by imposing an assumption of piecewise smoothness on the control variable and treating the slope of this...
Persistent link: https://www.econbiz.de/10005272716
Persistent link: https://www.econbiz.de/10001721226
Persistent link: https://www.econbiz.de/10010231687
Persistent link: https://www.econbiz.de/10009756039