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Some Remarks on Stochastic Versions of the Ramsey Growth Model

  • Karel Sladký


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    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.

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    Article provided by The Czech Econometric Society in its journal Bulletin of the Czech Econometric Society.

    Volume (Year): 19 (2012)
    Issue (Month): 30 ()

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    Handle: RePEc:czx:journl:v:19:y:2012:i:30:id:203
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