Optimal consumption in a stochastic Ramsey model with Cobb-Douglas production function

A stochastic Ramsey model is studied with the Cobb-Douglas production function maximizing the expected discounted utility of consumption.We transformed the Hamilton-Jacobi-Bellman (HJB) equation associated with the stochastic Ramsey model so as to transform the dimension of the state space by changi...

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Main Authors: Baten, Md Azizul, Kamil, Anton Abdulbasah
Format: Article
Language:English
Published: Hindawi Publishing Corporation 2013
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Online Access:http://repo.uum.edu.my/10617/1/68.pdf
http://repo.uum.edu.my/10617/
http://dx.doi.org/10.1155/2013/684757
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Institution: Universiti Utara Malaysia
Language: English
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spelling my.uum.repo.106172014-04-21T01:03:29Z http://repo.uum.edu.my/10617/ Optimal consumption in a stochastic Ramsey model with Cobb-Douglas production function Baten, Md Azizul Kamil, Anton Abdulbasah QA Mathematics A stochastic Ramsey model is studied with the Cobb-Douglas production function maximizing the expected discounted utility of consumption.We transformed the Hamilton-Jacobi-Bellman (HJB) equation associated with the stochastic Ramsey model so as to transform the dimension of the state space by changing the variables.By the viscosity solution method, we established the existence of viscosity solution of the transformed Hamilton-Jacobi-Bellman equation associated with this model.Finally, the optimal consumption policy is derived from the optimality conditions in the HJB equation. Hindawi Publishing Corporation 2013 Article PeerReviewed application/pdf en cc_by http://repo.uum.edu.my/10617/1/68.pdf Baten, Md Azizul and Kamil, Anton Abdulbasah (2013) Optimal consumption in a stochastic Ramsey model with Cobb-Douglas production function. International Journal of Mathematics and Mathematical Sciences, 2013. pp. 1-8. ISSN 0161-1712 http://dx.doi.org/10.1155/2013/684757 doi:10.1155/2013/684757
institution Universiti Utara Malaysia
building UUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Utara Malaysia
content_source UUM Institutionali Repository
url_provider http://repo.uum.edu.my/
language English
topic QA Mathematics
spellingShingle QA Mathematics
Baten, Md Azizul
Kamil, Anton Abdulbasah
Optimal consumption in a stochastic Ramsey model with Cobb-Douglas production function
description A stochastic Ramsey model is studied with the Cobb-Douglas production function maximizing the expected discounted utility of consumption.We transformed the Hamilton-Jacobi-Bellman (HJB) equation associated with the stochastic Ramsey model so as to transform the dimension of the state space by changing the variables.By the viscosity solution method, we established the existence of viscosity solution of the transformed Hamilton-Jacobi-Bellman equation associated with this model.Finally, the optimal consumption policy is derived from the optimality conditions in the HJB equation.
format Article
author Baten, Md Azizul
Kamil, Anton Abdulbasah
author_facet Baten, Md Azizul
Kamil, Anton Abdulbasah
author_sort Baten, Md Azizul
title Optimal consumption in a stochastic Ramsey model with Cobb-Douglas production function
title_short Optimal consumption in a stochastic Ramsey model with Cobb-Douglas production function
title_full Optimal consumption in a stochastic Ramsey model with Cobb-Douglas production function
title_fullStr Optimal consumption in a stochastic Ramsey model with Cobb-Douglas production function
title_full_unstemmed Optimal consumption in a stochastic Ramsey model with Cobb-Douglas production function
title_sort optimal consumption in a stochastic ramsey model with cobb-douglas production function
publisher Hindawi Publishing Corporation
publishDate 2013
url http://repo.uum.edu.my/10617/1/68.pdf
http://repo.uum.edu.my/10617/
http://dx.doi.org/10.1155/2013/684757
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