Advanced Search
MyIDEAS: Login

Optimal Control Response to Multiplicative Uncertainty with a Constant Term

Contents:

Author Info

  • Fidel Gonzalez

    ()
    (Sam Houston State University)

Registered author(s):

    Abstract

    In a one-state one-control variable Quadratic Linear Problem, I examine the effect of an increase in the multiplicative uncertainty on the use of the control variable. In contrast with previous studies, this model considers a stochastic constant term in the transition equation. I found that the optimal response depends on the covariance between the parameter with multiplicative uncertainty and the constant term. A nonnegative covariance produces a cautionary response following previous results. However, a negative covariance produces an aggressive response in the optimal control. Hence, previous studies represent a special case of this model. Numerical results are provided using global warming data

    Download Info

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below under "Related research" whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Bibliographic Info

    Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2006 with number 440.

    as in new window
    Length:
    Date of creation: 04 Jul 2006
    Date of revision:
    Handle: RePEc:sce:scecfa:440

    Contact details of provider:
    Email:
    Web page: http://comp-econ.org/
    More information through EDIRC

    Related research

    Keywords: Stochastic Control; Policy Uncertainty;

    Find related papers by JEL classification:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:sce:scecfa:440. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.