A stochastic model of economic growth in time-space
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Publication:5065053
DOI10.1137/21M1414206zbMATH Open1485.91142arXiv2104.11128OpenAlexW4214654467MaRDI QIDQ5065053FDOQ5065053
Authors: Marta Leocata, Fausto Gozzi 
Publication date: 18 March 2022
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Abstract: We deal with an infinite horizon, infinite dimensional stochastic optimal control problem arising in the study of economic growth in time-space. Such problem has been the object of various papers in deterministic cases when the possible presence of stochastic disturbances is ignored. Here we propose and solve a stochastic generalization of such models where the stochastic term, in line with the standard stochastic economic growth models, is a multiplicative one, driven by a cylindrical Wiener process. The problem is studied using the Dynamic Programming approach. We find an explicit solution of the associated HJB equation and, using a verification type result, we prove that such solution is the value function and we find the optimal feedback strategies. Finally we use this result to study the asymptotic behavior of the optimal trajectories.
Full work available at URL: https://arxiv.org/abs/2104.11128
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