Elements of Numerical Mathematical Economics with Excel

10.9. Current-value Hamiltonian

Another important class of problems in the OC theory is when, especially in the economic theory, we have to deal with discounted values, resorting to the factor e − ρ t in the integrand function as follows:

F ( t , y , u ) = G ( t , y , u ) e − ρ t

so that the OC problem becomes:

max J ( u ) = ∫ t 0 T G ( t , y , u ) e − ρ t d t

s . t