On the optimal control of a linear neutral differential equation arising in economics

Raouf Boucekkine (), Giorgio Fabbri and Patrick Pintus

Post-Print from HAL

Abstract: In this paper, we apply two optimization methods to solve an optimal control problem of a linear neutral differential equation (NDE) arising in economics. The first one is a variational method, the second follows a dynamic programming approach. Due to the infinite dimensionality of the NDE, the second method requires the reformulation of the latter as an ordinary differential equation in an appropriate abstract space. It is shown that the resulting HJB equation admits a closed-form solution, allowing for a much finer characterization of the optimal dynamics compared to the alternative variational method. The latter is clearly limited by the nontrivial nature of asymptotic analysis of NDEs.

Keywords: Neutral differential equations; economic dynamics; optimal control; calculus of variations; dynamic programming; infinite dimension (search for similar items in EconPapers)
Date: 2013
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00576770
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Published in Serdica Mathematical Journal, 2013, 39 (3-4), pp.331-354

Downloads: (external link)
https://shs.hal.science/halshs-00576770/document (application/pdf)

Related works:
Working Paper: On the optimal control of a linear neutral differential equation arising in economics (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00576770

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().