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April  2010, 6(2): 283-297. doi: 10.3934/jimo.2010.6.283

A stochastic optimal growth model with a depreciation factor


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

Received  July 2009 Revised  November 2009 Published  March 2010

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.
Citation: Shaoyong Lai, Yulan Zhou. A stochastic optimal growth model with a depreciation factor. Journal of Industrial and Management Optimization, 2010, 6 (2) : 283-297. doi: 10.3934/jimo.2010.6.283

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