An economic application of the Dubovitskii-Milyutin version of the Maximum Principle

作者：Leung, Siu Fai^*

来源：Optimal Control Applications and Methods, 2007, 28(6): 435-449.

DOI：10.1002/oca.804

• optimal control
• Maximum Principle
• Dubovitskii-Milyutin
• state constraint
• life-cycle saving
• uncertain lifetime
• borrowing constraint

The Pontryagin Maximum Principle is well known in economics. There is a different and more general version of the Maximum Principle, first established by Dubovitskii and Milyutin (Dokl. Acad. Nauk SSSR 1963; 149:759-762; Zh. Vychisl. Mat. Mat. Fiz. 1965; 5:393-453), which is little known in economics and has never been applied to solve an economic optimal control problem. This paper introduces the Dubovitskii-Milyutin version of the Maximum Principle to economics and offers an economic application to illustrate the limitation of the conventional Maximum Principle and the usefulness of the Dubovitskii-Milyutin version. The Dubovitskii-Milyutin Maximum Principle should be an integral part of the economist's toolbox and be included in economics textbooks on dynamic optimization.

• 出版日期2007-12
• 单位香港科技大学