Journal of Economics

, Volume 53, Issue 3, pp 245–270 | Cite as

On the existence of optimal processes in non-stationary environments

  • Tapan Mitra
  • Yaw Nyarko
Articles

Abstract

We consider an aggregative model of intertemporal allocation under uncertainty, in which the utility and production functions are allowed to be time dependent, the random shocks occurring in each period are entirely arbitrary, and the production functions are permitted to be non-concave. In this framework, we provide a theorem on the existence of infinite-horizon optimal processes. In the course of establishing this result, we obtain the existence of optimal policy functions and we show that they are monotone in the stock levels.

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Copyright information

© Springer-Verlag 1991

Authors and Affiliations

  • Tapan Mitra
    • 1
  • Yaw Nyarko
    • 2
  1. 1.Department of Economics, College of Art and SciencesCornell UniversityIthacaUSA
  2. 2.Department of EconomicsNew York UniversityNew YorkUSA

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