Expected Shadow Prices in Dynamic Models

摘要

Uncertainty is introduced into a continuous-time controlled system by superposing diffusion and a jump process onto a deterministic trend. The criterion is a function of evolutional type. The paper examines the implication of randomness for expected growth in shadow prices. It is shown that stochastic fluctuations increase the expected growth rate when the value function is concave and jumpsizes are magnified by the state level.