Stability of stochastic optimal growth models: a new approach

• 成果类型: Article
• 署名作者: Nishimura, K; Stachurski, J
• 署名单位: Universite Catholique Louvain; Kyoto University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2004.04.001
• 发表日期: 2005
• 页码: 100-118
• 关键词: Optimal growth; ergodicity; law or large numbers; Central Limit Theorem

摘要

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. (c) 2004 Elsevier Inc. All rights reserved.