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Stochastic Optimal Growth with Nonconvexities

Nishimura, Kazuo; Rudnicki, Ryszard; Stachurski, John

Description

This paper studies optimal investment and dynamic behavior in stochastically growing economies. We assume neither convex technology nor bounded support of the productivity shocks. A number of basic results concerning the investment policy and the Ramsey-Euler equation are established. We also prove a fundamental dichotomy pertaining to optimal growth models perturbed by standard econometric shocks: either an economy is globally stable or it is globally collapsing to the origin.

CollectionsANU Research Publications
Date published: 2006
Type: Journal article
URI: http://hdl.handle.net/1885/29731
Source: Journal of Mathematical Economics
DOI: 10.1016/j.jmateco.2005.08.002

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