Dynamics under Uncertainty

DOI10.2307/1914134MaRDI QIDQ3916511zbMATH OpenOpenAlexFDO

Authors William A. Brock, Michael J. P. Magill

Publication date 1979

Published in Econometrica (Search for Journal in Brave)

Full work available at URL http://www.kellogg.northwestern.edu/research/math/papers/324.pdf

zbMATH Keywords

Markov processeseconomicsHamiltonianstochastic dynamicsstochastic variational problemcompetitive processcompetitive pathsMcKenzie competitive processes

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Sample path properties (60G17) Model systems in control theory (93C99) Optimal stochastic control (93E20)

Cited in

(5)

• Asset and commodity prices with multi-attribute durable goods
• Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments
• Applicable stochastic control: From theory to practice
• The invariant distribution of wealth and employment status in a small open economy with precautionary savings
• An equilibrium model of risk and investment

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