Competitive Prices, Dynamic Programming under Uncertainty, a Nonstationary Case.
CALIFORNIA UNIV BERKELEY OPERATIONS RESEARCH CENTER
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A one-good economy is considered. The good can be used either for consumption or for production. If c units of the good are consumed and x units of the product are put into production, then the society gets ut c pt x units of satisfaction, or utility, and the quantity of the good available in the next period is ft xwt where wt are independent random variables. Using the concept of competitive prices and policies qualitative properties of optimal policies for finite and infinite time horizon problem are obtained. These results have applications to problem of nonrenewable resources, storage problem and economic growth models under uncertainty. Author
- Economics and Cost Analysis
- Statistics and Probability