This work is concerned with the modeling and analysis of continuous time mean field capital accumulation optimization. We begin by considering a mean field generalization of the so-called AK model combined with HARA utility. This model allows explicit calculation of the local strategy and the determination of the closed-loop mean field dynamics and the asymptotic property. The next part introduces a nonlinear model addressing diminishing return to scale. The mean field game is examined by use of the HJB equation. When the Cobb-Douglas production function and HARA utility are used, the solution of the mean field game is calculated by a set of ordinary differential equations, which is useful from the computational point of view since one can avoid implicitly determining the control by partial differential equations.

Additional Metadata
Persistent URL dx.doi.org/10.1109/CDC.2014.7039409
Conference 2014 53rd IEEE Annual Conference on Decision and Control, CDC 2014
Citation
Huang, M, & Nguyen, S.L. (Son Luu). (2014). Mean field capital accumulation with stochastic depreciation. In Proceedings of the IEEE Conference on Decision and Control (pp. 370–375). doi:10.1109/CDC.2014.7039409