Geodesic
The stochastic optimal growth problem
Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, no. 1 (2012), pp. 15-20 
Elvira Naval. The stochastic optimal growth problem. Buletinul Academiei de Ştiinţe a Republicii Moldova. Matematica, no. 1 (2012), pp. 15-20. http://geodesic.mathdoc.fr/item/BASM_2012_1_a1/
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     title = {The stochastic optimal growth problem},
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     url = {http://geodesic.mathdoc.fr/item/BASM_2012_1_a1/}
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Voir la notice de l'article provenant de la source Math-Net.Ru

This paper concerns the formulation of economic optimal control problem in a stochastic form. Equilibrium growth rate for this problem was obtained on the base of the stochastic maximum principle following the new approach [1] to the solution of optimal control stochastic problem, in which the stochastic dynamic programming formulation is transformed into formulation of the maximum principle. This approach was applied to the solution of the stochastic optimal growth problem.

[1] Rico-Ramirez V., Diweakar U., “Stochastic maximum principle for optimal control under uncertainty”, Computers and Chemical Engineering (Elsevier), 28 (2004), 2845–2849 | DOI

[2] Romer P. M., “Endogenous technological change”, Journal of Political Economy, 98 (1990), 71–102 | DOI

[3] Aghion P., Howitt P., “A model of growth through creative destruction”, Econometrica, 60 (1992), 323–351 | DOI | Zbl