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“The Riccati Equation - An Economic Fundamental Equation which Describes Marginal Movement in Time”

Authors: Lars P. Lystad, Per-Ole Nyman and Ralph H°ybakk,
Affiliation: Narvik University College
Reference: 2006, Vol 27, No 1, pp. 3-21.

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Keywords: Riccati equation, marginal time movement, economic interpretation, the marginal Hamiltonian function

Abstract: The objective of this article is to demonstrate that the Riccati equation is an economic fundamental equation, which is marginally descriptive in time for the large majority of economic systems. It is also an objective to interpret the Riccati equation and the corresponding relations in terms of economics. The article shows that there is a close relationship between the marginal Hamiltonian function and the Riccati equation. The marginal Hamiltonian function will be an expression of the accounts based on optimal behaviour including both the change in result and the change in balance.

PDF PDF (943 Kb)        DOI: 10.4173/mic.2006.1.1



DOI forward links to this article:
  [1] Shirley Llamado Yap (2010), doi:10.4169/002557010X479947


References:
[1] BALCHEN, J.G. (1978). Multivariable systemer, Trondheim: Tapir. 392 s..Reguleringsteknikk, B.3. ISBN 82-519-0295-9.
[2] KREYBERG, H.J.A. (1969). On the maximum principle of optimal control in economic processes, Trondheim: NTH, Institutt for sosial°konomi. PhD-thesis. 163 s..Meddelelse nr.15.
[3] LYSTAD, L.P. (1974). Bruk av reguleringstekniske metoder for analyse og utvikling av °konomiske modeller, Trondheim: NTH, Institutt for sosial°konomi. PhD-thesis. 264 s..Meddelelse nr.28.
[4] NYMAN, P.O. (2004). A relationship between the optimal cost-to-go and the Hamiltonian, Narvik: Preprint. Narvik university college 2004:8. 5 s.
[5] STENGEL, R.F. (1994). Optimal Control and Estimation, New York: Dover Publications. 639 s. ISBN 0-486-68200-5.


BibTeX:
@article{MIC-2006-1-1,
  title={{The Riccati Equation - An Economic Fundamental Equation which Describes Marginal Movement in Time}},
  author={Lystad, Lars P. and Nyman, Per-Ole and H°ybakk, Ralph},
  journal={Modeling, Identification and Control},
  volume={27},
  number={1},
  pages={3--21},
  year={2006},
  doi={10.4173/mic.2006.1.1},
  publisher={Norwegian Society of Automatic Control}
};

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