期刊名称：International Journal of Mathematics and Mathematical Sciences
印刷版ISSN：0161-1712
电子版ISSN：1687-0425
出版年度：2013
卷号：2013
DOI：10.1155/2013/684757
出版社：Hindawi Publishing Corporation
摘要：A stochastic Ramsey model is studied with the Cobb-Douglas production function maximizing the expected discounted utility of consumption. We transformed the Hamilton-Jacobi-Bellman (HJB) equation associated with the stochastic Ramsey model so as to transform the dimension of the state space by changing the variables. By the viscosity solution method, we established the existence of viscosity solution of the transformed Hamilton-Jacobi-Bellman equation associated with this model. Finally, the optimal consumption policy is derived from the optimality conditions in the HJB equation.
