Journal article
A new look at optimal growth under uncertainty
Journal of economic dynamics & control, Vol.22(1), pp.67-86
11/01/1997
DOI: 10.1016/S0165-1889(97)00042-0
Abstract
We consider the discounted optimal growth model under uncertainty, and model the stochastic technology as a transition probability mapping inputs into random outputs. This formulation allows for weaker assumptions of monotonicity and convexity on the technology (associated with second-order stochastic dominance and permitting some increasing returns), preserving all the conclusions of this model. Furthermore, in this framework, the differentiability of the (unique) optimal policy is obtained in an elementary way from the smoothness of the data.
Our results provide support for the contention that stochastic modeling in economics should be more than a mere extension of the deterministic realm.
Details
- Title: Subtitle
- A new look at optimal growth under uncertainty
- Creators
- Rabah Amir - WZB Berlin Social Science Center
- Resource Type
- Journal article
- Publication Details
- Journal of economic dynamics & control, Vol.22(1), pp.67-86
- Publisher
- Elsevier B.V
- DOI
- 10.1016/S0165-1889(97)00042-0
- ISSN
- 0165-1889
- eISSN
- 1879-1743
- Language
- English
- Date published
- 11/01/1997
- Academic Unit
- Economics
- Record Identifier
- 9984380395102771
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