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
Link To Document