Investment Demand When Economic Depreciation is Stochastic
扩展了新古典投资模型，引入折旧率的不确定性，使用伊藤随机动态优化推导最优投资条件，并证明折旧不确定性会降低稳态资本存量和投资。
Abstract The neoclassical model of investment by a risk‐neutral firm is generalized to include uncertainty about the rate of depreciation by replacing the deterministic capital accumulation identity with a stochastic variant. Ito's stochastic dynamic optimization is used to derive conditions for optimal investment. A nondegenerate steady‐state distribution of the capital stock is shown to exist and is derived for the empirically important case of a normalized quadratic profit function and static price expectations. It is demonstrated for this case that uncertainty about the rate of depreciation decreases the expected steady‐state capital stock and investment.