The Turnpike Property and the Central Limit Theorem in Stochastic Models of Economic Dynamics
AbstractThe paper analyzes asymptotic properties of optimal paths in multisector stochastic models of economic dynamics. We find conditions under which the rate of convergence in stochastic turnpike theorems is exponential. Using this result, we prove a functional central limit theorem for sums of random rewards accumulated along the optimal paths.
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Bibliographic InfoPaper provided by Department of Economics, University of Bergen in its series Norway; Department of Economics, University of Bergen with number 171.
Length: 38 pages
Date of creation: 1997
Date of revision:
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Postal: Department of Economics, University of Bergen Fosswinckels Gate 6. N-5007 Bergen, Norway
Web page: http://www.uib.no/econ/
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- John Stachurski, 2003.
"Stochastic growth: asymptotic distributions,"
Springer, vol. 21(4), pages 913-919, 06.
- Nishimura, Kazuo & Stachurski, John, 2005. "Stability of stochastic optimal growth models: a new approach," Journal of Economic Theory, Elsevier, vol. 122(1), pages 100-118, May.
- John Stachurski, 2004. "Asymptotic Statistical Properties Of The Neoclassical Optimal Growth Model," Department of Economics - Working Papers Series 898, The University of Melbourne.
- Amir, Rabah & Evstigneev, Igor, 1999. "Stochastic Version Of Polterovich'S Model: Exponential Turnpike Theorems For Equilibrium Paths," Macroeconomic Dynamics, Cambridge University Press, vol. 3(02), pages 149-166, June.
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"Stochastic Optimal Growth with Unbounded Shock,"
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777, The University of Melbourne.
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