IMCS/Publications/BASM/Issues/BASM n.1 (68), 2012/

The stochastic optimal growth problem

Authors: Naval Elvira


This paper concerns the formulation of economic optimal control problem in a stochastic form. Equilibrium growth rate for this problem was obtained on the base of the stochastic maximum principle following the new approach [1] to the solution of optimal control stochastic problem, in which the stochastic dynamic programming formulation is transformed into formulation of the maximum principle. This approach was applied to the solution of the stochastic optimal growth problem.



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