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Cantor Type Invariant Distributions in the Theory of Optimal Growth under Uncertainty

2004; Taylor & Francis; Volume: 10; Issue: 5 Linguagem: Inglês

10.1080/1023619042000193649

ISSN

1563-5120

Autores

Tapan Mitra, Fabio Privileggi,

Tópico(s)

Advanced Thermodynamics and Statistical Mechanics

Resumo

Abstract We study a one-sector stochastic optimal growth model, where the utility function is iso-elastic and the production function is of the Cobb–Douglas form. Production is affected by a multiplicative shock taking one of two values. We provide sufficient conditions on the parameters of the model under which the invariant distribution of the stochastic process of optimal output levels is of the Cantor type. Keywords: Stochastic optimal growthIterated function systemInvariant measureNo overlap propertyCantor functionLipschitz policy26A3028A7837L4060G3091B6291B70

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