Some Remarks on Stochastic Versions of the Ramsey Growth Model

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Some Remarks on Stochastic Versions of the Ramsey Growth Model

Popis výsledku v původním jazyce

In this note we focus attention on stochastic versions of the Ramsey growth model if either for a given time horizon expected value of the considered utility function should be maximized or if for infinite time horizon maximal average utility should be obtained. In contrast to the standard Ramsey economy growth model we assume that the production function considered in the economy model is influenced by some random factor with some specific properties. The aim is to discuss various approaches suitable for finding optimal policy of the "stochasticized" Ramsey model. To this end, we summarize basic features of multistage stochastic programming and stochastic dynamic programming, the two main methodologies that can be used to handle the above problem. Finally, we show how these approaches can be employed for finding optimal control policies for the "stochasticized" versions of the Ramsey problem if full or only partial information on the development of the economy over time is available.

Název v anglickém jazyce

Some Remarks on Stochastic Versions of the Ramsey Growth Model

Popis výsledku anglicky

In this note we focus attention on stochastic versions of the Ramsey growth model if either for a given time horizon expected value of the considered utility function should be maximized or if for infinite time horizon maximal average utility should be obtained. In contrast to the standard Ramsey economy growth model we assume that the production function considered in the economy model is influenced by some random factor with some specific properties. The aim is to discuss various approaches suitable for finding optimal policy of the "stochasticized" Ramsey model. To this end, we summarize basic features of multistage stochastic programming and stochastic dynamic programming, the two main methodologies that can be used to handle the above problem. Finally, we show how these approaches can be employed for finding optimal control policies for the "stochasticized" versions of the Ramsey problem if full or only partial information on the development of the economy over time is available.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2012

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Bulletin of the Czech Econometric Society

ISSN

1212-074X

e-ISSN

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Svazek periodika

19

Číslo periodika v rámci svazku

29

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

14

Strana od-do

139-152

Kód UT WoS článku

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EID výsledku v databázi Scopus

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