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Stability of Stochastic Optimal Growth Models: A New Approach

Nishimura, Kazuo; Stachurski, John

Description

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.

CollectionsANU Research Publications
Date published: 2005
Type: Journal article
URI: http://hdl.handle.net/1885/29962
Source: Journal of Economic Theory
DOI: 10.1016/j.jet.2004.04.001

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