Stability of Stochastic Optimal Growth Models: A New Approach
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.
|Collections||ANU Research Publications|
|Source:||Journal of Economic Theory|
|01_Nishimura_Stability_of_Stochastic_2005.pdf||285.62 kB||Adobe PDF||Request a copy|
|02_Nishimura_Stability_of_Stochastic_2005.pdf||226.7 kB||Adobe PDF||Request a copy|
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