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Necessary conditions for infinite horizon optimal control problems with state constraints

The research of third author benefited from the support of the FMJH Program Gaspard Monge in optimization and operation research, and from the support to this program from EDF under the grant PGMO 2015-2832H

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  • Partial and full sensitivity relations are obtained for nonauto-nomous optimal control problems with infinite horizon subject to state constraints, assuming the associated value function to be locally Lipschitz in the state. Sufficient structural conditions are given to ensure such a Lipschitz regularity in presence of a positive discount factor, as it is typical of macroeconomics models.

    Mathematics Subject Classification: Primary: 58F15, 58F17; Secondary: 53C35.


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