RAMSEY GROWTH MODEL UNDRE UNCERTAINTY

We consider an extended version of the Ramsey growth model under stochastic uncertainties modelled by Markov processes. In contrast to the standard model we assume that splitting of production between consumption and capital accumulation is influenced by some random factor, e.g. governed by transition probabilities depending on the current value of the accumulated capital, along with possible additional interventions of the decision maker. Basic properties of the standard formulation are summarized and compared with their counterparts in the extended version. Finding optimal policy of the extended model can be either performed by additional compensation of the (random) disturbances or can be also formulated as finding optimal control of a Markov decision process.