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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.

MSC:

93E20 Optimal stochastic control
91B70 Stochastic models in economics
91B62 Economic growth models
49N45 Inverse problems in optimal control
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