Drift criteria for persistence of discrete stochastic processes on the line

Giulio Bottazzi and Pietro Dindo

Journal of Mathematical Economics, 2022, vol. 101, issue C

Abstract: We provide sufficient conditions for the persistence or transience of stochastic processes on the real line based on the behavior of the first and second moment of their conditional increments at the boundaries. Our findings extend previous results in the literature (Lamperti, 1960) to the large class of discrete-time processes with bounded increments. We present some examples of application by studying survival and dominance of agents trading in complete financial markets.

Keywords: Discrete-time stochastic processes; Asymptotic behavior; Persistence and transience; Evolutionary dynamics; Economic dynamics (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:mateco:v:101:y:2022:i:c:s0304406822000465

DOI: 10.1016/j.jmateco.2022.102696

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