A stochastic optimal growth model with a depreciation factor

Shaoyong Lai; Yulan Zhou

doi:10.3934/jimo.2010.6.283

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2010, Volume 6, Issue 2: 283-297. Doi: 10.3934/jimo.2010.6.283

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A stochastic optimal growth model with a depreciation factor

Shaoyong Lai^1, and
Yulan Zhou^1,

1.
College of Economic Mathematics, Southwestern University of Finance and Economics, Chengdu 610074

Received: July 2009

Revised: November 2009

Published: April 2010

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Abstract

This paper is devoted to the study of a one-sector stochastic growth model with the depreciation factor of the output and with bounded and unbounded utility, in which the shocks are allowed to be bounded or unbounded. Under certain assumptions, the existence of a unique optimal policy function for the model is shown to be true and the existence of an invariant distribution for the output process is confirmed.

Keywords:

Stochastic growth; depreciation factor; Markow processes; existence of an invariant distribution.

Mathematics Subject Classification: Primary: 60G35; Secondary: 60J20.

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