Optimal consumption of the stochastic Ramsey problem for non-Lipschitz diffusion

DOI10.1186/1029-242X-2014-391MaRDI QIDQ257776zbMATH OpenWikidataFDO

Authors Chuandi Liu

Publication date 17 March 2016

Published in Journal of Inequalities and Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1186/1029-242X-2014-391

zbMATH Keywords

Cobb-Douglas production functionHamilton-Jacobi-Bellman equationoptimal consumptionstochastic Ramsey problemviscosity solutions

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Applications of optimal control and differential games (49N90) Economic growth models (91B62) Optimal stochastic control (93E20)

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Cites work

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• Optimal consumption in a stochastic Ramsey model with Cobb-Douglas production function
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Cited in

(10)

• Optimal consumption of the finite time horizon Ramsey problem
• Optimal consumption in a stochastic Ramsey model with Cobb-Douglas production function
• Propensity to consume and the optimality of Ramsey-Euler policies
• Optimal consumption models in economic growth
• Bernoulli substitution in the Ramsey model: optimal trajectories under control constraints
• The stochastic optimal growth problem
• Optimal consumption analysis for a stochastic growth model with technological shocks
• Optimal consumption in the stochastic Ramsey problem without boundedness constraints
• The optimal consumption function in a Brownian model of accumulation. Part A: The consumption function as solution of a boundary value problem
• From Frank Ramsey to René Thom: a classical problem in the calculus of variations leading to an implicit differential equation

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