摘要翻译:
本文研究了高阶差分问题。利用“压缩”论元,我们导出了欧拉条件和横截性条件。为了推导出这两个条件,确定了两个需要的假设。文中还给出了一个反例,在没有这两个假设的情况下,横截性条件是不满足的。
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英文标题:
《Transversality Conditions for Higher Order Infinite Horizon Discrete
Time Optimization Problems》
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作者:
Dapeng Cai and Takashi Gyoshin Nitta
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最新提交年份:
2010
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分类信息:
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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一级分类:Quantitative Finance 数量金融学
二级分类:Computational Finance 计算金融学
分类描述:Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法,包括蒙特卡罗,偏微分方程,格子和其他数值方法,并应用于金融建模
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英文摘要:
In this paper, we examine higher order difference problems. Using the "squeezing" argument, we derive both Euler's condition and the transversality condition. In order to derive the two conditions, two needed assumptions are identified. A counterexample, in which the transversality condition is not satisfied without the two assumptions, is also presented.
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PDF链接:
https://arxiv.org/pdf/1004.3093