The stochastic optimal growth problem

Elvira Naval

Institute of Mathematics and Computer Science, Academy of Sciences of Moldova, Chişinău, Moldova

Abstract: This paper concerns the formulation of economic optimal control problem in a stochastic form. Equilibrium growth rate for this problem was obtained on the base of the stochastic maximum principle following the new approach [1] to the solution of optimal control stochastic problem, in which the stochastic dynamic programming formulation is transformed into formulation of the maximum principle. This approach was applied to the solution of the stochastic optimal growth problem.

Keywords and phrases: optimal stochastic control, Ito's processes, Ito's Lemma, Hamilton–Jacobi–Bellman equation.

MSC: C61, D91

Received: 20.05.2011

Language: English

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