On the asymptotic behavior of stochastic economic processes : Two examples from intertemporal allocation under uncertainty |
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Authors: | Hans Fllmer |
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Institution: | Eidgenössiche Technische Hochschule, Zurich, Switzerland;Cornell University, Ithaca, NY 14853, USA |
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Abstract: | Some of the recently developed models to deal with economic problems involving uncertainty are based on simplifying assumptions on the nature of the stochastic law of the environment influencing economic decisions. Relying on the theory of martingales, we derive some general results on the asymptotic behavior of two dynamic processes that are of interest in the theory of intertemporal resource allocation. The first example is related to the ‘turnpike’ theory of optimal allocation. The second is addressed to the question of allocation of a scarce resource by using prices when the supply of the resource is random. |
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