Advanced Search
MyIDEAS: Login to save this paper or follow this series

Existence, Uniqueness and Stability of Invariant Distributions in Continuous-Time Stochastic Models

Contents:

Author Info

  • Christian Bayer

    ()
    (Department of Mathematics, University of Vienna, Austria)

  • Klaus Waelde

    ()
    (Department of Economics, Johannes Gutenberg-Universitaet Mainz, Germany)

Abstract

We study a dynamic stochastic general equilibrium model in continuous time. Related work has proven that optimal consumption in this model is a smooth function of state variables. This allows us to describe the evolution of optimal state variables (wealth and labour market status) by stochastic differential equations. We derive conditions under which an invariant distribution for state variables exists and is unique. We also provide conditions such that initial distributions converge to the long-run distribution.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.macro.economics.uni-mainz.de/RePEc/pdf/Discussion_Paper_1111.pdf
File Function: First version, 2011
Download Restriction: no

Bibliographic Info

Paper provided by Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz in its series Working Papers with number 1111.

as in new window
Length: 36 pages
Date of creation: 21 Jul 2011
Date of revision: 21 Jul 2011
Handle: RePEc:jgu:wpaper:1111

Contact details of provider:
Postal: Haus Recht und Wirtschaft I, Jakob-Welder-Weg 9, D-55128 Mainz
Phone: +49 6131 39-22223
Email:
Web page: http://wiwi.uni-mainz.de/index.html
More information through EDIRC

Related research

Keywords: uncertainty in continuous time; Poisson process; existence; uniqueness; stability;

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Olaf Posch & Klaus Wälde, 2009. "On the non-causal link between volatility and growth," Economics Working Papers 2009-10, School of Economics and Management, University of Aarhus.
  2. Giuseppe Moscarini, 2005. "Job Matching and the Wage Distribution," Econometrica, Econometric Society, vol. 73(2), pages 481-516, 03.
  3. Bandi, Federico M. & Nguyen, Thong H., 2003. "On the functional estimation of jump-diffusion models," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 293-328.
  4. Evans, Lynne & Kenc, Turalay, 2003. "Welfare Cost Of Monetary And Fiscal Policy Shocks," Macroeconomic Dynamics, Cambridge University Press, vol. 7(02), pages 212-238, April.
  5. Chang, Fwu-Ranq & Malliaris, A G, 1987. "Asymptotic Growth under Uncertainty: Existence and Uniqueness," Review of Economic Studies, Wiley Blackwell, vol. 54(1), pages 169-74, January.
  6. Brock, William A. & Mirman, Leonard J., 1972. "Optimal economic growth and uncertainty: The discounted case," Journal of Economic Theory, Elsevier, vol. 4(3), pages 479-513, June.
  7. Futia, Carl A, 1982. "Invariant Distributions and the Limiting Behavior of Markovian Economic Models," Econometrica, Econometric Society, vol. 50(2), pages 377-408, March.
  8. Robert Shimer & Lones Smith, 2000. "Assortative Matching and Search," Econometrica, Econometric Society, vol. 68(2), pages 343-370, March.
  9. Patrick Francois & Huw Lloyd-Ellis, 2003. "Animal Spirits Through Creative Destruction," American Economic Review, American Economic Association, vol. 93(3), pages 530-550, June.
  10. Posch, Olaf, 2009. "Structural estimation of jump-diffusion processes in macroeconomics," Journal of Econometrics, Elsevier, vol. 153(2), pages 196-210, December.
  11. Kiminori Matsuyama, 1996. "Growing Through Cycles," Discussion Papers 1203, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  12. Liutang Gong & Heng-fu Zou, 2001. "Direct preferences for wealth, the risk premium puzzle, growth, and policy effectiveness," CEMA Working Papers 53, China Economics and Management Academy, Central University of Finance and Economics.
  13. Julien Prat, 2007. "The Impact of Disembodied Technological Progress on Unemployment," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 10(1), pages 106-125, January.
  14. Bismut, Jean-Michel, 1975. "Growth and optimal intertemporal allocation of risks," Journal of Economic Theory, Elsevier, vol. 10(2), pages 239-257, April.
  15. Philipp Kircher & Leo Kaas, 2010. "Efficient Firm Dynamics in a Frictional Labor Market," 2010 Meeting Papers 89, Society for Economic Dynamics.
  16. William A. Brock & Michael J. P. Magill, 1978. "Dynamics Under Uncertainty," Discussion Papers 324, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  17. Andrew W. Lo, 1986. "Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data," NBER Technical Working Papers 0059, National Bureau of Economic Research, Inc.
  18. Scott, Louis O., 1987. "Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(04), pages 419-438, December.
  19. Fabien Postel-Vinay & Jean-Marc Robin, 2002. "Equilibrium Wage Dispersion with Worker and Employer Heterogeneity," Econometrica, Econometric Society, vol. 70(6), pages 2295-2350, November.
  20. Steger, Thomas M., 2005. "Stochastic growth under Wiener and Poisson uncertainty," Economics Letters, Elsevier, vol. 86(3), pages 311-316, March.
  21. Xavier Gabaix, 1999. "Zipf'S Law For Cities: An Explanation," The Quarterly Journal of Economics, MIT Press, vol. 114(3), pages 739-767, August.
  22. Magill, Michael J. P., 1977. "A local analysis of N-sector capital accumulation under uncertainty," Journal of Economic Theory, Elsevier, vol. 15(1), pages 211-219, June.
  23. Jessica A. Wachter, 2013. "Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?," Journal of Finance, American Finance Association, vol. 68(3), pages 987-1035, 06.
  24. Bental, Benjamin & Peled, Dan, 1996. "The Accumulation of Wealth and the Cyclical Generation of New Technologies: A Search Theoretic Approach," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 37(3), pages 687-718, August.
  25. Kenneth Burdett & Carlos Carrillo‐Tudela & Melvyn G. Coles, 2011. "Human Capital Accumulation And Labor Market Equilibrium," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(3), pages 657-677, 08.
  26. Kiminori Matsuyama, 1999. "Growing Through Cycles in an Infinitely -lived Agent Economy," Discussion Papers 1280, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  27. Shone,Ronald, 2002. "Economic Dynamics," Cambridge Books, Cambridge University Press, number 9780521017039.
  28. Grinols, Earl L & Turnovsky, Stephen J, 1998. "Consequences of Debt Policy in a Stochastically Growing Monetary Economy," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(2), pages 495-521, May.
  29. Merton, Robert C., 1973. "An asymptotic theory of growth under uncertainty," Working papers 673-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  30. 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.
  31. Fabien Postel-Vinay & Giuseppe Moscarini, 2008. "The Timing of Labor Market Expansions: New Facts and a New Hypothesis," 2008 Meeting Papers 326, Society for Economic Dynamics.
  32. Olson, Lars J. & Roy, Santanu, 2005. "Theory of Stochastic Optimal Economic Growth," Working Papers 28601, University of Maryland, Department of Agricultural and Resource Economics.
  33. Gokan, Yoichi, 2002. "Alternative government financing and stochastic endogenous growth," Journal of Economic Dynamics and Control, Elsevier, vol. 26(4), pages 681-706, April.
  34. Lentz, Rasmus, 2010. "Sorting by search intensity," Journal of Economic Theory, Elsevier, vol. 145(4), pages 1436-1452, July.
  35. Huggett, Mark, 1993. "The risk-free rate in heterogeneous-agent incomplete-insurance economies," Journal of Economic Dynamics and Control, Elsevier, vol. 17(5-6), pages 953-969.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:jgu:wpaper:1111. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lehrstuhl Wälde).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.