Sample-Path Stability of Non-Stationary Dynamic Economic Systems

Klaus Schenk-Hoppé

Annals of Operations Research, 2002, vol. 114, issue 1, 263-280

Abstract: The goal of this paper is to introduce and illustrate a new approach to the stability analysis of sample-paths of non-linear stochastic economic models with non-stationary components. We place our study within the mathematical theory of random dynamical systems and apply the concept of a random fixed point which is tailor-made for the study of the long-term behavior of sample-paths in stochastic systems. The main tool for the application of this approach is a Banach-type fixed point theorem for non-stationary random dynamical systems which is proved here. The concept and the theorem are thoroughly explained and illustrated by examples from stochastic growth theory. Copyright Kluwer Academic Publishers 2002

Keywords: sample-path stability; random fixed points; non-stationary random dynamical systems (search for similar items in EconPapers)
Date: 2002
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DOI: 10.1023/A:1021074506105

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