Fractal steady states in stochastic optimal control models

DOI10.1023/A:1018978213041MaRDI QIDQ1808206zbMATH OpenOpenAlexFDO

Authors Luigi Montrucchio, Fabio Privileggi

Publication date 2 December 1999

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1018978213041

zbMATH Keywords

economic growth modelsfractal setsinvariant probability measures of optimal processesMarkov dynamical system

Mathematics Subject Classification ID

Inverse problems in optimal control (49N45) Economic growth models (91B62) Stochastic models in economics (91B70) Optimal stochastic control (93E20)

Review text

Sufficient conditions are presented under which a given Markov dynamical system is an optimal process of certain discrete-time, infinite-horizon, concave optimal control problem. Applying this result to economic growth models and analyzing their asymptotic behaviour, it is shown that the invariant probability measures of optimal processes can be concentrated on fractal sets.

Recommendations

• The nature of the steady state in models of optimal growth under uncertainty
• Stochastic optimal growth with a non-compact state space
• Cantor Type Invariant Distributions in the Theory of Optimal Growth under Uncertainty
• One-dimensional infinite horizon nonconcave optimal control problems arising in economic dynamics
• Cantor type attractors in stochastic growth models

Cited in

(20)

• Sensitivity of iterated function systems under the product operation
• Fractal attractors and singular invariant measures in two-sector growth models with random factor shares
• Three dimensional fractal attractors in a green transition economic growth model
• A stochastic economic growth model with health capital and state-dependent probabilities
• Transitivity and sensitivity of iterated function systems via Furstenberg families
• Public debt dynamics under ambiguity by means of iterated function systems on density functions
• A remark on sensitivity and Li-Yorke sensitivity of iterated function systems
• RANDOM DYNAMICAL SYSTEMS IN ECONOMICS
• Fractal attractors in economic growth models with random pollution externalities
• scientific article; zbMATH DE number 6105116 (Why is no real title available?)
• scientific article; zbMATH DE number 1907232 (Why is no real title available?)
• Cantor Type Invariant Distributions in the Theory of Optimal Growth under Uncertainty
• The induced contractive maps on the covering spaces
• Self-similar measures in multi-sector endogenous growth models
• Stochastic optimal growth under state-dependent probabilities
• Multifractal theory with its applications in data management
• Applications of fixed point theorems in the theory of generalized IFS
• Cantor type attractors in stochastic growth models
• Generalized IFSs on noncompact spaces
• Approximation of infinite dimensional fractals generated by integral equations

This page was built for publication: Fractal steady states in stochastic optimal control models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1808206)