Stability of Stochastic Optimal Growth Models: A New Approach
Date
2005
Authors
Nishimura, Kazuo
Stachurski, John
Journal Title
Journal ISSN
Volume Title
Publisher
Academic Press
Abstract
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.
Description
Keywords
Keywords: Central limit theorem; Ergodicity; Law of large numbers; Optimal growth
Citation
Collections
Source
Journal of Economic Theory
Type
Journal article
Book Title
Entity type
Access Statement
License Rights
Restricted until
2037-12-31