Necessary and sufficient conditions are derived for optimal saving in a stochastic neo-classical one-good world with discrete time. The usual technique of dynamic programming is replaced by classical variational and concavity arguments, modified to take account of conditions of measurability...

We consider a neo-classical model of optimal economic growth with c.r.r.a. utility in which the traditional deterministic trends representing population growth, technological progress, depreciation and impatience are replaced by Brownian motions with drift. When transformed to 'intensive' units,...

In Part A of the present study, subtitled The Consumption Function as Solution of a Boundary Value Problem, Discussion Paper No. TE/96/297, STICERD, London School of Economics, we formulated a Brownian model of accumulation and derived sufficient conditions for optimality of a plan generated by...

The model considered here is essentially that formulated in the authors previous paper Conditions for Optimality in the Infinite-Horizon Portfolio-cum Saving Problem with Semimartingale Investments, Stochastics 29 (1990) pp.133-171. In this model, the vector process representing returns to...

A model of optimal accumulation of capital and portfolio choice over an infinite horizon in continuous time is formulated in which the vector process representing returns to investments is a general semimartingale. Methods of stochastic calculus and calculus of variations are used to obtain...

This paper is a sequel to [2], where a model of optimal accumulation of capital and portfolio choice over an infinite horizon in continuous time was considered in which the vector process representing returns to investment is a general semimartingale with independent increments and the welfare...