On the Basis of the Hamilton-Jacobi-Bellman Equation in Economic Dynamics

Yuhki Hosoya

Papers from arXiv.org

Abstract: We consider the classical Ramsey-Cass-Koopmans capital accumulation model and present three examples in which the Hamilton-Jacobi-Bellman (HJB) equation is neither necessary nor sufficient for a function to be the value function. Next, we present assumptions under which the HJB equation becomes a necessary and sufficient condition for a function to be the value function, and using this result, we propose a new method for solving the original problem using the solution to the HJB equation. Our assumptions are so mild that many macroeconomic growth models satisfy them. Therefore, our results ensure that the solution to the HJB equation is rigorously the value function in many macroeconomic models, and present a new solving method for these models.

Date: 2021-02, Revised 2023-02
New Economics Papers: this item is included in nep-dge and nep-ore
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Citations: View citations in EconPapers (2)

Published in Physica D: Nonlinear Phenomena, 133684 (2023)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2102.07431

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