Mathematics – Optimization and Control
Scientific paper
2012-03-17
Mathematics
Optimization and Control
28 pages
Scientific paper
Higher-order optimization problems naturally appear when investigating the effects of a patent with finite length, as in the pioneering work of Futagami and Iwaisako (2007). In this paper, we establish the Euler equations and transversality conditions necessary for analyzing such higher-order optimization problems. We develop our results for stochastic general reduced-form models and consider cases of both continuous and discrete time. We employ our results to establish the Euler equations and transversality conditions for the simplified household maximization problem in Futagami and Iwaisako (2007).
Cai Dapeng
Nitta Takashi Gyoshin
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