Premium
Optimal consumption analysis for a stochastic growth model with technological shocks
Author(s) -
Yuan Weipeng,
Lai Shaoyong,
Hu Hanlei
Publication year - 2018
Publication title -
applied stochastic models in business and industry
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.413
H-Index - 40
eISSN - 1526-4025
pISSN - 1524-1904
DOI - 10.1002/asmb.2384
Subject(s) - bellman equation , dynamic programming , viscosity solution , consumption (sociology) , value (mathematics) , mathematical optimization , hamilton–jacobi–bellman equation , mathematical economics , growth model , function (biology) , economics , computer science , mathematics , statistics , social science , evolutionary biology , sociology , biology
An optimal consumption problem of maximizing the expected discounted value of utility is discussed for an economic growth model with the random technological shocks. Applying the technique of dynamic programming principle, we derive the Hamilton‐Jacobi‐Bellman equation corresponding to the optimization problem and prove that the value function is a unique viscosity solution to the equation. Moreover, the optimal consumption policy is given in a feedback form under weak assumptions.