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


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

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Abstract

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.

Item Type: Article
Subjects: Q Science > QA Mathematics
Divisions: College of Arts and Sciences
Depositing User: Prof. Madya Dr. Md. Azizul Baten
Date Deposited: 21 Apr 2014 01:03
Last Modified: 21 Apr 2014 01:03
URI: http://repo.uum.edu.my/id/eprint/10617

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