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


  • 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.

published proceedings

  • Journal of Mathematical Economics

author list (cited authors)

  • Zhang, Y.

citation count

  • 11

complete list of authors

  • Zhang, Yuzhe