Stochastic optimal growth with a non-compact state space
This paper studies the stability of a stochastic optimal growth economy introduced by Brock and Mirman [J. Econ. Theory 4 (1972)] by utilizing stochastic monotonicity in a dynamic system. The construction of two boundary distributions leads to a new method of studying systems with non-compact state space. The paper shows the existence of a unique invariant distribution. It also shows the equivalence between the stability and the uniqueness of the invariant distribution in this dynamic system.
|Date of creation:||2005|
|Date of revision:|
|Contact details of provider:|| Postal: 90 Hennepin Avenue, P.O. Box 291, Minneapolis, MN 55480-0291|
Phone: (612) 204-5000
Web page: http://minneapolisfed.org/
More information through EDIRC
|Order Information:||Web: http://www.minneapolisfed.org/pubs/|
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.:
- 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.
- Mirman, Leonard J, 1972. "On the Existence of Steady State Measures for One Sector Growth Models with Uncertain Technology," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 13(2), pages 271-86, June.
- Duffie, Darrell, et al, 1994. "Stationary Markov Equilibria," Econometrica, Econometric Society, vol. 62(4), pages 745-81, July.
- Takashi Kamihigashi, 2006.
"Stochastic Optimal Growth with Bounded or Unbounded Utility and with Bounded or Unbounded Shocks,"
Discussion Paper Series
189, Research Institute for Economics & Business Administration, Kobe University.
- Kamihigashi, Takashi, 2007. "Stochastic optimal growth with bounded or unbounded utility and with bounded or unbounded shocks," Journal of Mathematical Economics, Elsevier, vol. 43(3-4), pages 477-500, April.
- Takashi Kamihigashi, 2005. "Stochastic Optimal Growth with Bounded or Unbounded Utility and with Bounded or Unbounded Shocks," Discussion Paper Series 176, Research Institute for Economics & Business Administration, Kobe University.
- Stachurski, J., 2001.
"Stochastic Optimal Growth with Unbounded Shock,"
Department of Economics - Working Papers Series
777, The University of Melbourne.
- Tjalling C. Koopmans, 1963. "On the Concept of Optimal Economic Growth," Cowles Foundation Discussion Papers 163, Cowles Foundation for Research in Economics, Yale University.
- 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.
- Mirman, Leonard J. & Zilcha, Itzhak, 1975. "On optimal growth under uncertainty," Journal of Economic Theory, Elsevier, vol. 11(3), pages 329-339, December.
- Futia, Carl A, 1982. "Invariant Distributions and the Limiting Behavior of Markovian Economic Models," Econometrica, Econometric Society, vol. 50(2), pages 377-408, March.
- Hopenhayn, Hugo A & Prescott, Edward C, 1992. "Stochastic Monotonicity and Stationary Distributions for Dynamic Economies," Econometrica, Econometric Society, vol. 60(6), pages 1387-406, November.
When requesting a correction, please mention this item's handle: RePEc:fip:fedmwp:639. 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: (Jannelle Ruswick)
If references are entirely missing, you can add them using this form.