2015/12/02 by Anton O. Belyakov, Belyakov, Anton O.
Computer Science · Decision Sciences · Economics, Econometrics and Finance · #34H05 #49J15 #93C10 #93C15 #Economic theories and models #FOS: Mathematics #G.1.6 #Optimization and Control (math.OC) #Optimization and Variational Analysis #Risk and Portfolio Optimization
paper · pdf · doi:10.48550/arxiv.1512.01206
openalex publication_date 2015/12/02 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
Necessary optimality conditions in the form of the maximum principle for control problems with infinite time horizon are considered. Both finite and infinite values of objective functional are allowed since the concept of overtaking or weakly overtaking optimality is used. New form of optimality condition is obtained and compared with the transversality conditions usually used in the literature. The examples, where these transversality conditions may fail while the new condition holds are presented. For Ramsey problem of capital accumulation a simple form of necessary optimality conditions is derived, which is also valid in the case of zero discounting.