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
Subjects:	QA Mathematics
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

id	my.uum.repo.10617
record_format	eprints
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
_version_	1644280413455122432

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

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