Stochastic stability of monotone economies in regenerative environments

• 成果类型: Article
• 署名作者: Foss, Sergey; Shneer, Vsevolod; Thomas, Jonathan P.; Worrall, Tim
• 署名单位: University of Edinburgh; Heriot Watt University; Heriot Watt University; Russian Academy of Sciences; Sobolev Institute of Mathematics; Novosibirsk State University; University of Edinburgh
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2017.11.004
• 发表日期: 2018
• 页码: 334-360
• 关键词: Monotone economy; Stochastic recursion; stochastic stability; One sector stochastic growth model; Bewley-Imrohoroglu-Huggett-Aiyagari model; Risk-sharing model

摘要

We introduce and analyze a new class of monotone stochastic recursions in a regenerative environment which is essentially broader than that of Markov chains. We prove stability theorems and apply our results to three canonical models in recursive economics, generalizing some known stability results to the cases when driving sequences are not independent and identically distributed. (C) 2017 Elsevier Inc. All rights reserved.