Title :
Control of linear discrete-time stochastic dynamic systems with multiplicative disturbances
Author_Institution :
University of Illinois, Urbana, USA
fDate :
6/1/1975 12:00:00 AM
Abstract :
Multiplicative random disturbances frequently occur in economic modeling. The money multiplier in a simple monetary macroeconomic model is treated as a random variable in this paper. The optimal control law is derived, and some consequences of erroneous modeling of the random disturbance are exhibited by simulation.
Keywords :
Economics; Linear systems, stochastic discrete-time; Optimal stochastic control; Stochastic optimal control; Additive noise; Control systems; Econometrics; Economic forecasting; Macroeconomics; Predictive models; Random variables; Stochastic processes; Stochastic resonance; Stochastic systems;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1975.1100960
