TY - JOUR
T1 - A particular class of continuous-time stochastic growth models
AU - Bourguignon, François
PY - 1974/10
Y1 - 1974/10
N2 - This paper generalizes to uncertaintly the neoclassical one-sector model by transforming the basic differential equation on the capital labor ratio into a "stochastic" differential equation. The capital-labor ratio and related economic variables become random variables whose probability distributions vary with time, and the paper is focused on the existence of a steady state denfined by the (probabilistic) stationarity of these variables. An application of the results is given for a specific example with a Cobb-Douglas production function and uncertainty on the saving coefficient, the labor-force rate of growth, and the capital depreciation rate.
AB - This paper generalizes to uncertaintly the neoclassical one-sector model by transforming the basic differential equation on the capital labor ratio into a "stochastic" differential equation. The capital-labor ratio and related economic variables become random variables whose probability distributions vary with time, and the paper is focused on the existence of a steady state denfined by the (probabilistic) stationarity of these variables. An application of the results is given for a specific example with a Cobb-Douglas production function and uncertainty on the saving coefficient, the labor-force rate of growth, and the capital depreciation rate.
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U2 - 10.1016/0022-0531(74)90063-5
DO - 10.1016/0022-0531(74)90063-5
M3 - Article
AN - SCOPUS:0001419451
SN - 0022-0531
VL - 9
SP - 141
EP - 158
JO - Journal of Economic Theory
JF - Journal of Economic Theory
IS - 2
ER -