Stochastic stability of monotone economies in regenerative environments

Sergey Foss, Vsevolod Shneer, Jonathan Thomas and Timothy Worrall

Journal of Economic Theory, 2018, vol. 173, issue C, 334-360

Abstract: We introduce and analyze a new class of monotone stochastic recursions in a regenerative environment which is essentially broader than that of Markov chains. We prove stability theorems and apply our results to three canonical models in recursive economics, generalizing some known stability results to the cases when driving sequences are not independent and identically distributed.

Keywords: Monotone economy; Stochastic recursion; Stochastic stability; One sector stochastic growth model; Bewley–Imrohoroglu–Huggett–Aiyagari model; Risk-sharing model (search for similar items in EconPapers)
JEL-codes: C61 C62 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jetheo:v:173:y:2018:i:c:p:334-360

DOI: 10.1016/j.jet.2017.11.004

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