TY - JOUR
T1 - Optimal growth in a stochastic environment
T2 - Some sensitivity and turnpike results
AU - Majumdar, Mukul
AU - Zilcha, Itzhak
N1 - Funding Information:
* Parts of earlier versions of this paper were presented in seminars or conferences in Montreal, New York, and Davis. We would like to thank Professors W. Brock, R. Radner, and R. Starr in this connection. Thanks are also due to Professor Tapan Mitra for helpful conversations on several proofs. Research support from the National Science Foundation and from the Warshow Endowment of Cornell University is gratefully acknowledged.
PY - 1987/10
Y1 - 1987/10
N2 - We present an aggregative model of dynamic optimization under uncertainty and seek to synthesize and extend results that apply to a number of well-studied stochastic optimization exercises. First, the question of existence of a unique finite horizon optimal program is considered. Optimality is characterized in terms of Ramsey-Euler conditions. Sensitivity of the optimal programs with respect to changes in initial and terminal stocks is explored. As the horizon expands, the optimal programs converge to a unique limit program, which is linked to the infinite horizon optimal program. A turnpike property of optimal programs is also derived.
AB - We present an aggregative model of dynamic optimization under uncertainty and seek to synthesize and extend results that apply to a number of well-studied stochastic optimization exercises. First, the question of existence of a unique finite horizon optimal program is considered. Optimality is characterized in terms of Ramsey-Euler conditions. Sensitivity of the optimal programs with respect to changes in initial and terminal stocks is explored. As the horizon expands, the optimal programs converge to a unique limit program, which is linked to the infinite horizon optimal program. A turnpike property of optimal programs is also derived.
UR - http://www.scopus.com/inward/record.url?scp=38249034133&partnerID=8YFLogxK
U2 - 10.1016/0022-0531(87)90117-7
DO - 10.1016/0022-0531(87)90117-7
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AN - SCOPUS:38249034133
SN - 0022-0531
VL - 43
SP - 116
EP - 133
JO - Journal of Economic Theory
JF - Journal of Economic Theory
IS - 1
ER -