Costate variables correctly value stocks at each instant
type: Item
instance of: scholarly article
title: Costate variables correctly value stocks at each instant
zbMATH Open document ID: 0627.90019
DOI: 10.1016/0165-1889(87)90027-3
publication date: 1987-01-01T00:00:00Z
review text: We prove this often mentioned result by showing that the marginal rate of increase of the maximand of a control problem with respect to the level of stock at any instant in the interior of the horizon is the value of the associated costate variable at that instant. This implies as a corollary that the marginal gain to be made over the future is the same as could be made over past and future.
Mathematics Subject Classification ID: 91B62
zbMATH DE Number: 4020798
zbMATH Keywords: marginal rate of increase
author: Daniel Leonard
MaRDI profile type: Publication
full work available at URL: 0165-1889(87)90027-3
OpenAlex ID: W1971030920
cites work: On the Differentiability of the Value Function in Dynamic Models of Economics
cites work: Duality theory for dynamic optimization models of economics: The continuous time case
cites work: Q4096701
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cites work: Optimal Growth with Intertemporally Dependent Preferences
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 4020798