On the existence of optimal processes in non-stationary environments

Tapan Mitra, Yaw Nyarko

Research output: Contribution to journalArticle

Abstract

We consider an aggregative model of intertemporal allocation under uncertainty, in which the utility and production functions are allowed to be time dependent, the random shocks occurring in each period are entirely arbitrary, and the production functions are permitted to be non-concave. In this framework, we provide a theorem on the existence of infinite-horizon optimal processes. In the course of establishing this result, we obtain the existence of optimal policy functions and we show that they are monotone in the stock levels.

Original languageEnglish (US)
Pages (from-to)245-270
Number of pages26
JournalJournal of Economics Zeitschrift für Nationalökonomie
Volume53
Issue number3
DOIs
StatePublished - Oct 1991

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Production function
Optimal policy
Utility function
Infinite horizon
Policy function
Uncertainty

ASJC Scopus subject areas

  • Economics and Econometrics
  • Business, Management and Accounting(all)

Cite this

On the existence of optimal processes in non-stationary environments. / Mitra, Tapan; Nyarko, Yaw.

In: Journal of Economics Zeitschrift für Nationalökonomie, Vol. 53, No. 3, 10.1991, p. 245-270.

Research output: Contribution to journalArticle

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