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Control óptimo estocástico en una economía bajo riesgo e incertidumbre

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Author Info
Francisco Venegas-Martínez (Instituto Politécnico Nacional)
Roberto Ballinez-Ambriz (Tecnológico de Monterrey, Campus Ciudad de M‚xico)
Abstract

The aim of this paper is to develop a stochastic optimal control model for a closed economy with three sectors: consumers, firms and government. The random variables that drive the stochastic dynamics of relevant economic and financial variables follow a Wiener process or Brownian motion. On the basis of the proposed model, several aspects of monetary and fiscal policy are analyzed and various equilibrium relations, such as capital accumulation and inflation, are discussed.

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File URL: http://www.csf.itesm.mx/egade/publicaciones/articulos/PapFVMRob.pdf
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Publisher Info
Article provided by Tecnológico de Monterrey, Campus Ciudad de México in its journal Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics).

Volume (Year): 1 (2007)
Issue (Month): 2 ()
Pages: 134-147
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Handle: RePEc:ega:rafega:200710

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Web page: http://www.ccm.itesm.mx/egap/
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Related research
Keywords: Análisis dinámico Política monetaria y fiscal Crecimiento económico e inversión Riesgo inflacionario

Find related papers by JEL classification:
C61 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Optimization Techniques; Programming Models; Dynamic Analysis
E22 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - Capital; Investment; Capacity
E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy

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