We formulate stochastic robust optimal control problems, motivated by applications arising in interconnected economic systems, or spatially extended economies. We study in detail linear quadratic problems and nonlinear problems. We derive optimal robust controls and identify conditions under which concerns about model misspecification at specific site(s) could cause regulation to break down, to be very costly, or to induce pattern formation and spatial clustering. We call sites associated with these phenomena hot spots. We also provide an application of our methods by studying optimal robust control and the potential break down of regulation, due to hot spots, in a model where utility for in situ consumption is distance dependent. © 2014 Springer Science+Business Media New York.

Brock, W., Xepapadeas, A., Yannacopoulos, A. (2014). Robust Control and Hot Spots in Spatiotemporal Economic Systems. DYNAMIC GAMES AND APPLICATIONS, 4(3), 257-289 [10.1007/s13235-014-0109-z].

Robust Control and Hot Spots in Spatiotemporal Economic Systems

XEPAPADEAS, ANASTASIOS;
2014

Abstract

We formulate stochastic robust optimal control problems, motivated by applications arising in interconnected economic systems, or spatially extended economies. We study in detail linear quadratic problems and nonlinear problems. We derive optimal robust controls and identify conditions under which concerns about model misspecification at specific site(s) could cause regulation to break down, to be very costly, or to induce pattern formation and spatial clustering. We call sites associated with these phenomena hot spots. We also provide an application of our methods by studying optimal robust control and the potential break down of regulation, due to hot spots, in a model where utility for in situ consumption is distance dependent. © 2014 Springer Science+Business Media New York.
2014
Brock, W., Xepapadeas, A., Yannacopoulos, A. (2014). Robust Control and Hot Spots in Spatiotemporal Economic Systems. DYNAMIC GAMES AND APPLICATIONS, 4(3), 257-289 [10.1007/s13235-014-0109-z].
Brock, W.A.; Xepapadeas, A; Yannacopoulos, A.N.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/580201
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