Optimal consumption of the stochastic Ramsey problem for non-Lipschitz diffusion

DOI10.1186/1029-242X-2014-391zbMath1335.49030WikidataQ59324593 ScholiaQ59324593MaRDI QIDQ257776

Chuandi Liu

Publication date: 17 March 2016

Published in: Journal of Inequalities and Applications (Search for Journal in Brave)

zbMATH Keywords

Hamilton-Jacobi-Bellman equationviscosity solutionsCobb-Douglas production functionoptimal consumptionstochastic Ramsey problem

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Applications of optimal control and differential games (49N90) Economic growth models (91B62) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (1)

Optimal Consumption in the Stochastic Ramsey Problem without Boundedness Constraints

Cites Work

• A general version of Young's inequality
• Backwards SDE with random terminal time and applications to semilinear elliptic PDE
• Optimal consumption in a stochastic Ramsey model with Cobb-Douglas production function
• Stochastic Control and Mathematical Modeling
• Optimal Consumption in a Growth Model with the Cobb–Douglas Production Function
• User’s guide to viscosity solutions of second order partial differential equations
• An Asymptotic Theory of Growth Under Uncertainty
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