Ramsey Growth Model Under Uncertainty
Result description
We consider an extended version of the Ramsey growth model under stochastic uncertaity modelled by Markov processes. In contrast to the standard model we assume that splitting of production between consumption and capital accumulation is influenced by some random factor, e.g. governed by transition probabilities depending on the current value of the accumulated capital, along with possible interventions of the decision maker. Basic properties of the standation formulation are summarized and compared with their counterpart in the extended version. Finding optimal policy of the extended model can be either performed by additional compensation of the (random) disturbances or can be also formulated as finding optimal control of a Markov decision process.
Keywords
Economic dynamicsRamsey growth modelMarkov decision processes
The result's identifiers
Result code in IS VaVaI
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Ramsey Growth Model Under Uncertainty
Original language description
We consider an extended version of the Ramsey growth model under stochastic uncertaity modelled by Markov processes. In contrast to the standard model we assume that splitting of production between consumption and capital accumulation is influenced by some random factor, e.g. governed by transition probabilities depending on the current value of the accumulated capital, along with possible interventions of the decision maker. Basic properties of the standation formulation are summarized and compared with their counterpart in the extended version. Finding optimal policy of the extended model can be either performed by additional compensation of the (random) disturbances or can be also formulated as finding optimal control of a Markov decision process.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
Continuities
Z - Vyzkumny zamer (s odkazem do CEZ)
Others
Publication year
2009
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of 27th International Conference Mathematical Methods in Economics 2009
ISBN
978-80-213-1963-9
ISSN
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e-ISSN
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Number of pages
4
Pages from-to
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Publisher name
Czech University of Life Sciences Prague
Place of publication
Prague
Event location
Kostelec nad Černými lesy
Event date
Sep 9, 2009
Type of event by nationality
CST - Celostátní akce
UT code for WoS article
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Basic information
Result type
D - Article in proceedings
CEP
AH - Economics
Year of implementation
2009