We consider nonparametric identification and estimation of pricing kernels, or equivalently of marginal utility functions up to scale, in consumption based asset pricing Euler equations. Ours is the first paper to prove nonparametric identification of Euler equations under low level conditions...

The paper develops a version of Pontryagin's maximum principle for optimal control problems with monotonicity constraints on control variables. Whereas the literature handles such constraints by imposing an assumption of piecewise smoothness on the control variable and treating the slope of this...

Rufus P. Isaacs joined the RAND Corporation, Santa Monica, California, in 1948 and started to develop the theory of dynamic games in the early 1950s. Until winter 1954/55 - when Isaacs left the RAND Corporation - he investigated two player, zero-sum dynamic games of the classic pursuit-evasion...

Dynamic modeling is general and recently the most interesting perspective to solve a dynamic economic problem based on Pontryagin’s maximum principle. Moreover traditional economic theory, up to the middle of twentieth century, builds up the production functions regardless the inputs’...

We offer a new proof of the maximum principle for optimal control problems with fixed endpoint. We allow for inequality constraints involving state variables and control variables. Our proof relies on an application of the envelope theorem. Nous donnons une preuve nouvelle du principe de maximum...

The paper presents the optimal control theory and the maximum principle technique that is suitable for solving dynamic optimalization problems in continuous time. Modern mainstream macroeconomics stresses microeconomics principles of solved problems. However, the application of the standard...

In this paper we analyze the influence of several types of fiscal policies on the process of economic growth, namely on the rate of growth of consumption. We formulate and analyze two types of economic growth models. The first refers to the way in which a consumer-producer agent takes decisions...

The paper analyses the way in which monetary and fiscal policy influences the performances of economic growth and social welfare. The analysis is made on the basis of a dynamic model with discrete variables. The model is with a representative private agent and a government sector consisting of a...

We present an application of the Dynamic Programming (DP) and of the Maximum Principle (MP) to solve an optimization over time when the production function is linear in the stock of capital (Ak model). Two views of capital are considered. In one, which is embraced by the great majority of...

We solve an agent's optimization problem of meeting demands for cash over time with cash deposited in bank or invested in stock. The stock pays dividends and uncertain capital gains, and a commission is incurred in buying and selling of stock. We use a stochastic maximum principle to obtain...