Stochastic growth under Wiener and Poisson uncertainty

DOI10.1016/J.ECONLET.2004.06.022zbMATH Open1254.91441OpenAlexW1968734986MaRDI QIDQ1927752FDOQ1927752

Authors: Thomas Steger 

Publication date: 2 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2004.06.022

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zbMATH Keywords

risk premiumstochastic growthPoisson uncertaintyRamsey ruleKeynesWiener uncertainty

Mathematics Subject Classification ID

Economic growth models (91B62) Stochastic models in economics (91B70)

Cites Work

• A Model of Growth Through Creative Destruction
• Optimal saving under Poisson uncertainty

Cited In (19)

• Stochastic stability and bifurcation in a macroeconomic model
• Asymptotic Growth under Uncertainty: Existence and Uniqueness
• \( \mathcal{H}_\infty\) control for Poisson-driven stochastic systems
• Growth and financial liberalization under capital collateral constraints: the striking case of the stochastic AK model with CARA preferences
• Production technologies in stochastic continuous time models
• Mean growth and stochastic stability in endogenous growth models
• Economic growth and abatement activities in a stochastic environment: a multi-objective approach
• Controlled stochastic differential equations under Poisson uncertainty and with unbounded utility
• ``Itō's lemma and the Bellman equation for Poisson processes: An applied view
• Globalization, the volatility of intermediate goods prices, and economic growth
• Stochastic accumulation of human capital and welfare in the Uzawa-Lucas model: an analytical characterization
• Risk premia in general equilibrium
• Risk matters: breaking certainty equivalence in linear approximations
• Structural estimation of jump-diffusion processes in macroeconomics
• Cantor Type Invariant Distributions in the Theory of Optimal Growth under Uncertainty
• A robust consumption model when the intensity of technological progress is ambiguous
• \(\mathcal{H}_\infty\) filtering for stochastic systems driven by Poisson processes
• \(L_2\)-\(L_\infty\) filtering for stochastic systems driven by Poisson processes and Wiener processes
• Stability and mean growth rate of stochastic Solow model driven by jump-diffusion process

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