Jump to ContentJump to Main Navigation
Stochastic Optimal Control, International Finance, and Debt Crises$
Users without a subscription are not able to see the full content.

Jerome L. Stein

Print publication date: 2006

Print ISBN-13: 9780199280575

Published to Oxford Scholarship Online: May 2006

DOI: 10.1093/0199280576.001.0001

Show Summary Details
Page of

PRINTED FROM OXFORD SCHOLARSHIP ONLINE (www.oxfordscholarship.com). (c) Copyright Oxford University Press, 2019. All Rights Reserved. Under the terms of the licence agreement, an individual user may print out a PDF of a single chapter of a monograph in OSO for personal use (for details see www.oxfordscholarship.com/page/privacy-policy).date: 19 June 2019

Stochastic intertemporal optimization: Long-term debt continuous time

Stochastic intertemporal optimization: Long-term debt continuous time

Chapter:
(p.62) 3 Stochastic intertemporal optimization: Long-term debt continuous time
Source:
Stochastic Optimal Control, International Finance, and Debt Crises
Author(s):

Jerome L. Stein (Contributor Webpage)

Publisher:
Oxford University Press
DOI:10.1093/0199280576.003.0003

This chapter answers the following technical questions: In a stochastic environment, where the return on capital and the interest rate are stochastic, what is an optimal (1) long-term debt, (2) expected current account, (3) consumption, and (4) expected growth rate. The mathematical techniques necessary to answer these questions, concerning intertemporal optimization in continuous time over an infinite horizon, involve dynamic programming. A mean-variance interpretation is given for the dynamic programming solution.

Keywords:   intertemporal optimization, dynamic programming solution, optimal debt, consumption, endogenous growth rate, current account, mean-variance analysis

Oxford Scholarship Online requires a subscription or purchase to access the full text of books within the service. Public users can however freely search the site and view the abstracts and keywords for each book and chapter.

Please, subscribe or login to access full text content.

If you think you should have access to this title, please contact your librarian.

To troubleshoot, please check our FAQs , and if you can't find the answer there, please contact us .