22 September 2017
Sergey Aseev was invited to speak and gave a talk on Maximum principle and optimal control problems in economics.
Optimal control problems arise in many fields of economics, in particular in problems of optimization of economic growth. The main distinctive feature of these problems is that the control process is considered on an infinite time interval. The infinite time horizon gives rise to some specific and challenging mathematical features of the problems. In particular, various “pathological” phenomena in the relations of the general version of the Pontryagin maximum principle can occur. In this talk we discuss a recently developed complete version of the Pontryagin maximum principle for infinite horizon optimal control problems. As a meaningful example, we consider a two-sector model of optimal economic growth subject to a random jump in prices.
Last edited: 13 April 2018
Applied Mathematics Day
Aseev, S. & Veliov, V. (2019). Another view of the maximum principle for infinite-horizon optimal control problems in economics. Russian Mathematical Surveys 74 (6(450)), 963-1011. 10.1070/RM9915.
Aseev, S. & Veliov, V. (2017). Another View of the Maximum Principle for Infinite-Horizon Optimal Control Problems in Economics. Operations Research and Control Systems, Vienna University of Technology
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