Constructing the Optimal Solutions to the Undiscounted Continuous-Time Infinite Horizon Optimization Problems
General Finance
2012-03-20 v1 Optimization and Control
Abstract
We aim to construct the optimal solutions to the undiscounted continuous-time infinite horizon optimization problems, the objective functionals of which may be unbounded. We identify the condition under which the limit of the solutions to the finite horizon problems is optimal for the infinite horizon problems under the overtaking criterion.
Cite
@article{arxiv.0803.4046,
title = {Constructing the Optimal Solutions to the Undiscounted Continuous-Time Infinite Horizon Optimization Problems},
author = {Dapeng CAI and Takashi Gyoshin NITTA},
journal= {arXiv preprint arXiv:0803.4046},
year = {2012}
}