This paper derives a maximum principle for dynamic systems with continuous lags, i.e., systems governed by integrodifferential equations, using dynamic programming. As a result, the adjoint variables can be provided with useful economic interpretations.
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This research was supported by NSERC Grant No. A4619.
Communicated by J. V. Breakwell
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Hartl, R.F., Sethi, S.P. Optimal control of a class of systems with continuous lags: Dynamic programming approach and economic interpretations. J Optim Theory Appl 43, 73–88 (1984). https://doi.org/10.1007/BF00934747
- Dynamic programming
- maximum principle
- distributed parameter systems
- integrodifferential equations
- economic applications