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Stability of stochastic optimal growth models: a new approach

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Nishimura, K Stachurski, J

The paper proposes an Euler equation technique for analyzing the stability of differentiable stochastic programs. The main innovation is to use marginal reward directly as a Foster-Lyapunov function. This allows us to extend known stability results for stochastic optimal growth models, both weakening hypotheses and strengthening conclusions. (c) 2004 Elsevier Inc. All rights reserved.

Document type Article de périodique (Journal article) – Article de recherche
Access type Accès restreint
Publication date 2005
Language Anglais
Journal information "Journal of Economic Theory" - Vol. 122, no. 1, p. 100-118 (2005)
Peer reviewed yes
Publisher Academic Press Inc Elsevier Science (San Diego)
issn 0022-0531
e-issn 1095-7235
Publication status Publié
Affiliation UCL
Keywords optimal growth ; ergodicity ; law or large numbers ; central limit theorem
Links
Bibliographic reference Nishimura, K ; Stachurski, J. Stability of stochastic optimal growth models: a new approach. In: Journal of Economic Theory, Vol. 122, no. 1, p. 100-118 (2005)
Permanent URL http://hdl.handle.net/2078.1/39746