Stochastic optimal growth with a non-compact state space Academic Article

abstract

• 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. 2006 Elsevier B.V. All rights reserved.

authors

• Zhang, Yuzhe

published proceedings

• Journal of Mathematical Economics

author list (cited authors)

• Zhang, Y.

citation count

• 11

complete list of authors

• Zhang, Yuzhe

publisher

• Elsevier  Publisher

published in

• Journal of Mathematical Economics  Journal

keywords

• Global Stability
• Monotonic Operator
• Stochastic Dominance
• Stochastic Growth

Digital Object Identifier (DOI)

• 10.1016/j.jmateco.2006.10.002

start page

• 115

end page

• 129

volume

• 43

issue

• 2

URL

• http%3A%2F%2Fdx.doi.org%2F10.1016%2Fj.jmateco.2006.10.002