Optimal Control Theory with Economic Applications

Rating:
Summary: Still the best guide ever to Optimal Control for Economists
Review: There are a number of standard textbooks in optimal control theory for economists. This is the textbook for the guys that wrote the other textbooks. Both the Calculus of Variations and Optimal Control Theory is presented in a rigorous manner. The authors are however not wedded to rigour as they often present "rough" arguments when they suspect that presenting the results rigourously would exceed the proficiency one could reasonably expect from their economist readers.

When the book was written it was not only a textbook but also an important piece of research. The reprint, appearing 10 years later, still presents the ideas with remarkable freshness. The discussion of transversality conditions in infinite horizon models should be read by all economists using these models and corrects some other textbooks where the topic has been bungled. The discussion of jump controls is superb.