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Almost sure convergence to zero in stochastic growth models

  • Takashi Kamihigashi

    ()

This paper considers the resource constraint commonly used in stochastic one-sector growth models. Shocks are not required to be i.i.d. It is shown that any feasible path converges to zero exponentially fast almost surely under a certain condition. In the case of multiplicative shocks, the condition means that the shocks are sufficiently volatile. Convergence is faster the larger their volatility is, and the smaller the maximum average product of capital is.

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File URL: http://hdl.handle.net/10.1007/s00199-005-0006-1
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Article provided by Springer in its journal Economic Theory.

Volume (Year): 29 (2006)
Issue (Month): 1 (September)
Pages: 231-237

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Handle: RePEc:spr:joecth:v:29:y:2006:i:1:p:231-237
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  1. Stachurski, John, 2002. "Stochastic Optimal Growth with Unbounded Shock," Journal of Economic Theory, Elsevier, vol. 106(1), pages 40-65, September.
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  7. de Hek, Paul & Roy, Santanu, 2001. "On Sustained Growth under Uncertainty," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(3), pages 801-13, August.
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