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Stationary Distributions in Monotone Markov Models: Theory and Applications

Author

Listed:
  • Takashi Kamihigashi

    (Center for Computational Social Science (CCSS) and Research Institute for Economics & Business Administration (RIEB), Kobe University, JAPAN)

  • John Stachurski

    (National Graduate Institute for Policy Studies, JAPAN)

Abstract

Many economic models feature monotone Markov dynamics on state spaces that may be noncompact. Establishing existence, uniqueness, and stability of stationary distributions in such settings has required a patchwork of sufficient conditions, each tailored to specific applications. We provide a single necessary and sufficient condition:a monotone Markov process has a globally stable stationary distribution if and only if it is asymptotically contractive and has a tight rajectory. This characterization covers both compact and noncompact state spaces, discrete and continuous time, and extends to nonlinear Markov operators that depend on aggregate state. We demonstrate the result through applications to wage dynamics, Bayesian learning with belief shocks, and income processes that generate Pareto tails.

Suggested Citation

  • Takashi Kamihigashi & John Stachurski, 2026. "Stationary Distributions in Monotone Markov Models: Theory and Applications," Discussion Paper Series DP2026-09, Research Institute for Economics & Business Administration, Kobe University.
    • Handle: RePEc:kob:dpaper:dp2026-09
    as

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    File URL: https://www.rieb.kobe-u.ac.jp/academic/ra/dp/English/DP2026-09.pdf
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    References listed on IDEAS

    as
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