Název: Ramsey Stochastic Model via Multistage Stochastic Programming
Autoři: Kaňková, Vlasta
Typ dokumentu: Příspěvky z konference
Konference/Akce: 28th International Conference on Mathematical Methods in Economics 2010, České Budějovice (CZ), 2010-09-08 / 2010-09-10
Rok: 2010
Jazyk: eng
Abstrakt: Ramsey model belongs to ``classical" economic dynamic models. It has been (1928)originally constructed (with a farmer interpretation)in a deterministic setting. Later this model has been generalized to a stochastic version. Time horizont in the original deterministic model as well as in modified stochastic one can be considered finite or infinite. The contribution deals with the stochastic model and finite horizont. However, in spite of the classical approach to analyze it we employ a stochastic programming technique. This approach gives a possibility to employ well known results on stability and empirical estimates also in the case of Ramsey model. However, first, we introduce some confidence intervals. To obtain the new assertions we restrict our consideration mostly to the case when the ``underlying" random element follows autoregressive (or at least Markov) sequence.
Klíčová slova: Autoregressive sequences; Confidence intervals; Empirical estimates; Multistage stochastic programming; Ramsey stochastic model; Stability
Číslo projektu: CEZ:AV0Z10750506 (CEP), GAP402/10/0956 (CEP), GA402/08/0107 (CEP), GAP402/10/1610 (CEP)
Poskytovatel projektu: GA ČR, GA ČR, GA ČR
Zdrojový dokument: 28th International Conference on Mathematical Methods in Economics 2010, ISBN 978-80-7394-218-2

Instituce: Ústav teorie informace a automatizace AV ČR (web)
Informace o dostupnosti dokumentu: Dokument je dostupný na externích webových stránkách.
Externí umístění souboru: http://library.utia.cas.cz/separaty/2010/E/kankova-ramsey stochastic model via multistage stochastic programming.pdf
Původní záznam: http://hdl.handle.net/11104/0187863

Trvalý odkaz NUŠL: http://www.nusl.cz/ntk/nusl-41649


Záznam je zařazen do těchto sbírek:
Věda a výzkum > AV ČR > Ústav teorie informace a automatizace
Konferenční materiály > Příspěvky z konference