Zhang, Yuzhe (2007): Stochastic optimal growth with a non-compact state space. Published in: Journal of Mathematical Economics , Vol. 43, No. 2 (February 2007): pp. 115-129.
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This paper studies the stability of a stochastic optimal growth economy introduced by Brock and Mirman [Brock,W.A., Mirman, L., 1972. Optimal economic growth and uncertainty: the discounted case. Journal of Economic Theory 4, 479–513] by utilizing stochastic monotonicity in a dynamic system. The construction of two boundary distributions leads to a new method of studying systems with non-compact state space. The paper shows the existence of a unique invariant distribution. It also shows the equivalence between the stability and the uniqueness of the invariant distribution in this dynamic system.
|Item Type:||MPRA Paper|
|Original Title:||Stochastic optimal growth with a non-compact state space|
|Keywords:||Stochastic growth; Stochastic dominance; Monotonic operator; Global stability|
|Subjects:||O - Economic Development, Technological Change, and Growth > O4 - Economic Growth and Aggregate Productivity > O41 - One, Two, and Multisector Growth Models
C - Mathematical and Quantitative Methods > C6 - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling > C61 - Optimization Techniques; Programming Models; Dynamic Analysis
C - Mathematical and Quantitative Methods > C6 - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling > C62 - Existence and Stability Conditions of Equilibrium
|Depositing User:||Yuzhe Zhang|
|Date Deposited:||13. Jun 2010 15:58|
|Last Modified:||16. Feb 2013 03:49|
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