Optimal consumption analysis for a stochastic growth model with technological shocks

Weipeng Yuan, Shaoyong Lai and Hanlei Hu

Applied Stochastic Models in Business and Industry, 2018, vol. 34, issue 5, 746-755

Abstract: 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.

Date: 2018
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https://doi.org/10.1002/asmb.2384

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:34:y:2018:i:5:p:746-755

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