On the asymptotic behavior of stochastic economic processes. Two examples from intertemporal allocation under uncertainty

DOI10.1016/0304-4068(78)90015-0zbMath0402.90026OpenAlexW1505477573MaRDI QIDQ1255880

Hans Föllmer, Mukul K. Majumdar

Publication date: 1978

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4068(78)90015-0

zbMATH Keywords

Dynamic Economic ModelCapital AccumulationIntertemporal Resource AllocationMartingale MethodsStochastic Economic ProcessesTurnpike TheoryUtility Accumulation

Mathematics Subject Classification ID

Economic growth models (91B62)

Related Items (8)

Long-run invariance in economic dynamics: a note ⋮ On characterizing optimality of stochastic competitive processes ⋮ Stochastic turnpike property and stationary equilibrium ⋮ Turnpike theorems for Markov games ⋮ A note on the stochastic value loss assumption ⋮ Martingale analysis of dynamic tax incidence in a nonstationary growth model ⋮ Recursive utility, martingales, and the asymptotic behaviour of optimal processes ⋮ The stochastic turnpike property without uniformity in convex aggregate growth models

Cites Work

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• The structure and stability of competitive dynamical systems
• Characterization by prices of optimal programs under uncertainty
• A note on the role of the transversality condition in signalling capital overaccumulation
• Martingales and stochastic integrals. I
• Turnpike Theory
• Optimal Economic Growth and Uncertainty: The No Discounting Case
• On Optimal Consumption Plans in a Multi-sector Economy

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