Fractal steady states in stochastic optimal control models. (English) Zbl 0939.93042
Sufficient conditions are presented under which a given Markov dynamical system is an optimal process of certain discrete-time, infinite-horizon, concave optimal control problem. Applying this result to economic growth models and analyzing their asymptotic behaviour, it is shown that the invariant probability measures of optimal processes can be concentrated on fractal sets.
Reviewer: H.Pragarauskas (Vilnius)
MSC:
93E20 | Optimal stochastic control |
91B70 | Stochastic models in economics |
91B62 | Economic growth models |
49N45 | Inverse problems in optimal control |