On a closed-form solution to the stochastic Lucas–Uzawa model

Bucci et al. (J Econ 103:83–99, <CitationRef CitationID="CR3">2011</CitationRef>) argue that under two parametric restrictions, there exists a closed-form solution path to the two-sector endogenous growth model of Lucas–Uzawa. However, they assume that the value function is a function of both the current and the initial values of the state variables. As Wälde (J Econ Dyn Control 35:616–622, <CitationRef CitationID="CR7">2011a</CitationRef>) argues, the value function should depend only on the current state variables when the technology follows a geometric Brownian motion. I follow Wälde (J Econ Dyn Control 35:616–622, <CitationRef CitationID="CR7">2011a</CitationRef>) and obtain, under some inequality constraints, a different value function. Copyright Springer-Verlag 2013