The stochastic optimal growth problem

MaRDI QIDQ3168215zbMATH OpenFDO

Authors Elvira Naval

Publication date 30 October 2012

Full work available at URL http://www.math.md/publications/basm/issues/y2012-n1/11056/

zbMATH Keywords

Hamilton-Jacobi-Bellman equationoptimal stochastic controlItô's lemmaItô's processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Economic growth models (91B62) Optimal stochastic control (93E20)

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(16)

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• Completely solvable stochastic Hamiltonian system describing a continuous-time integrated climate-economy model
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• Stochastic optimal growth with a non-compact state space
• A stochastic model of economic growth in time-space
• scientific article; zbMATH DE number 4189439 (Why is no real title available?)
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• Stochastic optimal growth with unbounded shock
• Cantor Type Invariant Distributions in the Theory of Optimal Growth under Uncertainty
• Stochastic modeling of economic growth
• Discounting long run average growth in stochastic dynamic programs
• An optimal design problem with non-standard growth and no concentration effects

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