DocumentCode
818659
Title
Control of linear discrete-time stochastic dynamic systems with multiplicative disturbances
Author
Aoki, Masanao
Author_Institution
University of Illinois, Urbana, USA
Volume
20
Issue
3
fYear
1975
fDate
6/1/1975 12:00:00 AM
Firstpage
388
Lastpage
392
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;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.1975.1100960
Filename
1100960
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