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- Title
Optimal Stabilization Policies for Deterministic and Stochastic Linear Systems: Comments.
- Authors
Chang, S. S. L.; Stekler, H. O.
- Abstract
In a recent issue, Turnovsky [3] derived the optimal control for a version of the multiplier-accelerator model, in which both the multiplier and accelerator coefficients are random variables. He solves the model for the cases in which either the propensity to save or the accelerator coefficient is stochastic but does not derive the solution for the cases when both coefficients are stochastic. In this note, we shall first show that there is an additive term in the optimum policy due to correlation of the disturbances, and income is steered to a level less than equilibrium. Then we shall derive the optimal policy for the case when both coefficients are stochastic.
- Subjects
LINEAR systems; MATHEMATICAL optimization; MULTIPLIERS (Mathematical analysis); SYSTEMS theory; RANDOM variables; PROBABILITY theory; STOCHASTIC processes; MATHEMATICAL variables
- Publication
Review of Economic Studies, 1976, Vol 43, Issue 1, p185
- ISSN
0034-6527
- Publication type
Article
- DOI
10.2307/2296613