A particular class of continuous-time stochastic growth models

François Bourguignon

Research output: Contribution to journalArticle

Abstract

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.

Original languageEnglish (US)
Pages (from-to)141-158
Number of pages18
JournalJournal of Economic Theory
Volume9
Issue number2
DOIs
StatePublished - Oct 1974

    Fingerprint

ASJC Scopus subject areas

  • Economics and Econometrics

Cite this