A stochastic optimal growth model with a depreciation factor

DOI10.3934/JIMO.2010.6.283MaRDI QIDQ974716zbMATH OpenOpenAlexFDO

Authors Shaoyong Lai, Yulan Zhou

Publication date 7 June 2010

Published in Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/jimo.2010.6.283

zbMATH Keywords

depreciation factorinvariant distributionMarkow processespolicy functionstochastic growth

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Nonlinear systems in control theory (93C10)

Review text

The paper is devoted to the study of a one-sector stochastic growth model with the depreciation factor of the output and with bounded and unbounded utility, in which the shocks are allowed to be bounded or unbounded. Under certain assumptions, the existence of a unique optimal policy function for the model is shown to be true and the existence of an invariant distribution for the output process is confirmed.

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Cited in

(3)

• Stochastic optimal growth with bounded or unbounded utility and with bounded or unbounded shocks
• scientific article; zbMATH DE number 710499 (Why is no real title available?)
• On optimal growth under uncertainty: some examples

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