A note on a new class of solutions to dynamic programming problems arising in economic growth

Jess Benhabib, Aldo Rustichini

    Research output: Contribution to journalArticle

    Abstract

    We provide exact solutions for a class of stochastic dynamic programming problems in growth theory involving pairs of constant relative risk aversion utility functions and CES technologies. This generalizes the solutions for the well-known case of logarithmic utility coupled with Cobb-Douglas production functions. We are also able to incorporate depreciation schemes through a vintage capital approach.

    Original languageEnglish (US)
    Pages (from-to)807-813
    Number of pages7
    JournalJournal of Economic Dynamics and Control
    Volume18
    Issue number3-4
    StatePublished - May 1994

    Fingerprint

    Stochastic Dynamic Programming
    Production Function
    Risk Aversion
    Relative Risk
    Economic Growth
    Utility Function
    Dynamic programming
    Dynamic Programming
    Logarithmic
    Exact Solution
    Depreciation
    Economics
    Generalise
    Class
    Economic growth
    Exact solution
    Vintage capital
    Cobb-Douglas production function
    Growth theory
    Constant relative risk aversion

    Keywords

    • Dynamic programming
    • Growth

    ASJC Scopus subject areas

    • Control and Optimization
    • Economics and Econometrics

    Cite this

    A note on a new class of solutions to dynamic programming problems arising in economic growth. / Benhabib, Jess; Rustichini, Aldo.

    In: Journal of Economic Dynamics and Control, Vol. 18, No. 3-4, 05.1994, p. 807-813.

    Research output: Contribution to journalArticle

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