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Stochastic Stability in Monotone Economies

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  • Takashi Kamihigashi

    (Research Institute for Economics & Business Administration (RIEB), Kobe University, Japan)

  • John Stachurski

    (Research School of Economics, Australian National University, Australia)

Abstract

This paper presents new order-theoretic conditions for global stability of monotone Markov processes with possibly non-compact state spaces. Our main result shows that a Markov process induced by a continuous and increasing transition law is globally stable if it admits a Lyapunovlike function, and becomes larger than any given element of the state space with positive probability, or smaller than any given element of the state space with positive probability. This result applies to a wide range of stochastic economic models.

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File URL: http://www.rieb.kobe-u.ac.jp/academic/ra/dp/English/DP2010-12.pdf
File Function: First version, 2010
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Bibliographic Info

Paper provided by Research Institute for Economics & Business Administration, Kobe University in its series Discussion Paper Series with number DP2010-12.

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Length: 37 pages
Date of creation: Apr 2010
Date of revision:
Handle: RePEc:kob:dpaper:dp2010-12

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Keywords: Monotonicity; Stability; Markov process; Stochastic dynamics;

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References

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Cited by:
  1. Yiyong Cai & Takashi Kamihigashi & John Stachurski, 2012. "Stochastic Optimal Growth with Risky Labor Supply," ANU Working Papers in Economics and Econometrics 2012-585, Australian National University, College of Business and Economics, School of Economics.
  2. Balbus, Łukasz & Reffett, Kevin & Woźny, Łukasz, 2014. "A constructive study of Markov equilibria in stochastic games with strategic complementarities," Journal of Economic Theory, Elsevier, vol. 150(C), pages 815-840.

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