Sequential decision problems on isolated time domains

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:388

Article

Atici, Ferhan M.¹  Turhan, Nezihe¹ 

[1] Western Kentucky Univ, Dept Math & Comp Sci, Bowling Green, KY 42101 USA

关键词: Dynamic programming;    Isolated time scales;    Bellman equation;    Optimization;   

DOI  :  10.1016/j.jmaa.2011.09.068

来源: Elsevier

【 摘 要 】

In this paper, we shall study the deterministic dynamic sequence problem on isolated time domains. After introducing the Euler equations and the transversality condition, we shall prove that the Euler equations and transversality condition are sufficient for the existence of the optimal solution. We shall also introduce the Bellman equation on isolated time scales. This equation will generalize the well-known Bellman equation in the theory of dynamic programming. As an application in financial economics, we shall optimize a sequence problem of growth model on isolated time domains. (C) 2011 Elsevier Inc. All rights reserved.

【 授权许可】

Free