Anticipated Shocks in Continuous-time Optimization Models : Theoretical Investigation and Numerical Solution

@inproceedings{Trimborn2007AnticipatedSI,
  title={Anticipated Shocks in Continuous-time Optimization Models : Theoretical Investigation and Numerical Solution},
  author={Timo Trimborn},
  year={2007}
}
We derive the well-known continuity principle for adjoint variables for preannounced or anticipated changes in parameters for continuoustime, infinite-horizon, perfect foresight optimization models. For easy and intuitive numerical computation of the resulting multi point boundary value problem we suggested to simulate the resulting differential algebraic system representing the first order conditions. By ensuring that the state variables and the adjoint variables are continuous, potential… CONTINUE READING