TY - JOUR
T1 - Uncertain horizon and stability. Analysis in an optimal growth model
AU - Zilcha, Itzhak
PY - 1987/9
Y1 - 1987/9
N2 - In a one-sector optimal growth model with uncertainty about production optimal capital stocks converge in distribution to a stochastic modified golden rule [see, for example Brock and Mirman (1972, 1973)]. We show that such a result cannot be obtained, in general, if in addition to the random one-period shocks to production there is also a lasting shock to the production function at some random date in the future; however, the conditional optimal capital stocks 'bunch together' over time, i.e., a turnpike result for optimal programs is proved.
AB - In a one-sector optimal growth model with uncertainty about production optimal capital stocks converge in distribution to a stochastic modified golden rule [see, for example Brock and Mirman (1972, 1973)]. We show that such a result cannot be obtained, in general, if in addition to the random one-period shocks to production there is also a lasting shock to the production function at some random date in the future; however, the conditional optimal capital stocks 'bunch together' over time, i.e., a turnpike result for optimal programs is proved.
UR - http://www.scopus.com/inward/record.url?scp=45949118492&partnerID=8YFLogxK
U2 - 10.1016/S0165-1889(87)80017-9
DO - 10.1016/S0165-1889(87)80017-9
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AN - SCOPUS:45949118492
VL - 11
SP - 445
EP - 453
JO - Journal of Economic Dynamics and Control
JF - Journal of Economic Dynamics and Control
SN - 0165-1889
IS - 3
ER -