Hamilton-Jacobi-Bellman equation with multiple equilibria
Malte Sieveking · RePEc: Research Papers in Economics · 2001
The paper presents a correctnes proof as well as an implementation in maple of an algorithm to compute the value function of infinite horizon optimal control problems with a single state variable. It proceeds as follows: step1:compute candidates for equilibria(from the HJB); step2:for each candidate as initial value solve the corresponding ODE initial value problem derived from the HJB; step3: take the max of all these solutions.It is the value function. The algorithm avoids iterations and shows equilibria and Skiba points, if they exist. solutions