Completely solvable stochastic Hamiltonian system describing a continuous-time integrated climate-economy model

抄録

The present paper proposes a stochastic continuous-time extension of a DICE model, a well-known dynamic integrated climate-economy model. The optimal path of the proposed model is described by a coupled forward-backward stochastic differential equation which is solvable in the sense that it is reduced to solving a system of deterministic linear equations.