摘要翻译:
我们的目的是通过允许效用函数和生产函数都依赖于时间来推广Cai和Nitta(2007)的结果。我们还考虑了一个额外的跨期最优性准则。我们阐明了在超越准则下,有限时域问题的解的极限在无限时域问题的所有可达路径中是最优的条件,以及在效用和准则下,这样的极限是唯一最优的条件。将结果应用于一个单部门增长模型的参数例子,以检验贴现对最优路径的影响。
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英文标题:
《Limit of the Solutions for the Finite Horizon Problems as the Optimal
Solution to the Infinite Horizon Optimization Problems》
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作者:
Dapeng CAI (1), Takashi Gyoshin NITTA (2) ((1) Institute for Advanced
Research, Nagoya University, Nagoya, Japan, (2) Department of Mathematics,
Faculty of Education, Mie University, Tsu, Japan)
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最新提交年份:
2008
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:General Finance 一般财务
分类描述:Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类:Mathematics 数学
二级分类:Optimization and Control 优化与控制
分类描述:Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学,线性规划,控制论,系统论,最优控制,博弈论
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英文摘要:
We aim to generalize the results of Cai and Nitta (2007) by allowing both the utility and production function to depend on time. We also consider an additional intertemporal optimality criterion. We clarify the conditions under which the limit of the solutions for the finite horizon problems is optimal among all attainable paths for the infinite horizon problems under the overtaking criterion, as well as the conditions under which such a limit is the unique optimum under the sum-of-utilities criterion. The results are applied to a parametric example of the one-sector growth model to examine the impacts of discounting on optimal paths.
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PDF链接:
https://arxiv.org/pdf/0803.4050