Constructing the Optimal Solutions to the Undiscounted Continuous-Time Infinite Horizon Optimization Problems

Details Constructing the Optimal Solutions to the Undiscounted Continuous-Time Infinite Horizon Optimization Problems Constructing the Optimal Solutions to the Undiscounted Continuous-Time Infinite Horizon Optimization Problems

2008-03-28

arxiv.org/abs/0803.4046v1

Nonlinear Analysis: Theory, Methods & Applications, Volume 71, Issue 12, 15 December 2009, Pages e2103-e2108

Economy

Quantitative Finance

General Finance

Scientific paper

10.1016/j.na.2009.03.066

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.

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