• DocumentCode
    114298
  • Title

    Mean field capital accumulation with stochastic depreciation

  • Author

    Minyi Huang ; Son Luu Nguyen

  • Author_Institution
    Sch. of Math. & Stat., Carleton Univ., Ottawa, ON, Canada
  • fYear
    2014
  • fDate
    15-17 Dec. 2014
  • Firstpage
    370
  • Lastpage
    375
  • Abstract
    This work is concerned with the modeling and analysis of continuous time mean field capital accumulation optimization. We begin by considering a mean field generalization of the so-called AK model combined with HARA utility. This model allows explicit calculation of the local strategy and the determination of the closed-loop mean field dynamics and the asymptotic property. The next part introduces a nonlinear model addressing diminishing return to scale. The mean field game is examined by use of the HJB equation. When the Cobb-Douglas production function and HARA utility are used, the solution of the mean field game is calculated by a set of ordinary differential equations, which is useful from the computational point of view since one can avoid implicitly determining the control by partial differential equations.
  • Keywords
    investment; partial differential equations; stochastic games; AK model; Cobb-Douglas production function; HARA utility; HJB equation; asymptotic property; mean field capital accumulation; mean field game; nonlinear model; ordinary differential equations; partial differential equations; stochastic depreciation; Equations; Games; Mathematical model; Production; Sociology; Statistics; Stochastic processes;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Decision and Control (CDC), 2014 IEEE 53rd Annual Conference on
  • Conference_Location
    Los Angeles, CA
  • Print_ISBN
    978-1-4799-7746-8
  • Type

    conf

  • DOI
    10.1109/CDC.2014.7039409
  • Filename
    7039409