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Original title:
Ramsey Stochastic Model via Multistage Stochastic Programming
Authors: Kaňková, Vlasta
Document type: Papers
Conference/Event: 28th International Conference on Mathematical Methods in Economics 2010, České Budějovice (CZ), 2010-09-08 / 2010-09-10
Year: 2010
Language: eng
Abstract: 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.
Keywords: Autoregressive sequences; Confidence intervals; Empirical estimates; Multistage stochastic programming; Ramsey stochastic model; Stability
Project no.: CEZ:AV0Z10750506 (CEP), GAP402/10/0956 (CEP), GA402/08/0107 (CEP), GAP402/10/1610 (CEP)
Funding provider: GA ČR, GA ČR, GA ČR
Host item entry: 28th International Conference on Mathematical Methods in Economics 2010, ISBN 978-80-7394-218-2
Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://library.utia.cas.cz/separaty/2010/E/kankova-ramsey stochastic model via multistage stochastic programming.pdf
Original record: http://hdl.handle.net/11104/0187863
Permalink: http://www.nusl.cz/ntk/nusl-41649
The record appears in these collections:
Research > Institutes ASCR > Institute of Information Theory and Automation
Conference materials > Papers
Authors: Kaňková, Vlasta
Document type: Papers
Conference/Event: 28th International Conference on Mathematical Methods in Economics 2010, České Budějovice (CZ), 2010-09-08 / 2010-09-10
Year: 2010
Language: eng
Abstract: 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.
Keywords: Autoregressive sequences; Confidence intervals; Empirical estimates; Multistage stochastic programming; Ramsey stochastic model; Stability
Project no.: CEZ:AV0Z10750506 (CEP), GAP402/10/0956 (CEP), GA402/08/0107 (CEP), GAP402/10/1610 (CEP)
Funding provider: GA ČR, GA ČR, GA ČR
Host item entry: 28th International Conference on Mathematical Methods in Economics 2010, ISBN 978-80-7394-218-2
Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://library.utia.cas.cz/separaty/2010/E/kankova-ramsey stochastic model via multistage stochastic programming.pdf
Original record: http://hdl.handle.net/11104/0187863
Permalink: http://www.nusl.cz/ntk/nusl-41649
The record appears in these collections:
Research > Institutes ASCR > Institute of Information Theory and Automation
Conference materials > Papers
Record created 2011-07-01, last modified 2024-01-26