Optimal plans and timing under additive transformations to rewards
研究了一类多状态多控制变量的确定性最优控制问题中奖励的加性变换如何影响最优计划，推导了比较静态结果，并扩展到两类随机控制问题，应用于企业调整成本、不可逆污染积累和退休生命周期模型。
The nature and role of additive transformations to rewards are elucidated for a general class of deterministic, nonautonomous, optimal control problems with many state and control variables. Conditions relating to the optimal choice of initial and terminal times and initial and terminal values of state variables are identified such that additive transformations affect optimal plans. General comparative static results are derived and the framework is extended to cover two common classes of stochastic control problems. Three applications are presented: the canonical adjustment cost model of a firm, a stochastic extension of an irreversible pollution accumulation problem with regime-switching, and an extension of a lifecycle model of retirement in which an agent’s retirement wealth evolves stochastically.