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This article is cited in 2 scientific papers (total in 2 papers)
Model of the producer’s behavior in the presence of random moments of obtaining a loan and investment
A. A. Zhukovaabc a Higher School of Economics – National Research University
b MIPT
c Federal Research Center "Computer Science and Control" of the RAS
Abstract:
The presented work considers the problem of the firm, which makes decisions regarding
investments, production and payment of dividends to the owners of the firm in the conditions of uncertainty in the timing of transactions. The task is set of the agent-producer on
the finite planning horizon. An approach used to solve optimal control problem arising in
the economic model is based on the method of Lagrange multipliers. Sufficient optimality conditions are formulated and a system of partial differential equations with a shift
that determines the solution of the problem is derived. A solution to this system was obtained in the case of constant prices and interest rates, and in the general case, approximate solutions were obtained at a high transaction frequency. It shows the specifics of
the problem compared to the problem on an infinite horizon due to the presence of a
boundary layer in which the analysis can significantly change compared to the analysis
of the solution within the planning horizon. This model might be used as a block of a
manufacturing agent in applied modeling of the computable intertemporal equilibrium of
a country's economy.
Keywords:
model of an economic agent, stochastic optimal control, Lagrange multipliers method.
Received: 21.10.2019 Revised: 21.10.2019 Accepted: 25.11.2019
Citation:
A. A. Zhukova, “Model of the producer’s behavior in the presence of random moments of obtaining a loan and investment”, Matem. Mod., 32:4 (2020), 16–30; Math. Models Comput. Simul., 12:6 (2020), 933–941
Linking options:
https://www.mathnet.ru/eng/mm4169 https://www.mathnet.ru/eng/mm/v32/i4/p16
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Abstract page: | 393 | Full-text PDF : | 226 | References: | 37 | First page: | 11 |
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