Stochastic optimal growth with a non-compact state space

Yuzhe Zhang ()

No 639, Working Papers from Federal Reserve Bank of Minneapolis

Abstract: 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: 2005
New Economics Papers: this item is included in nep-dge
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Citations: View citations in EconPapers (1)

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http://www.minneapolisfed.org/research/WP/WP639.pdf

Related works:
Journal Article: Stochastic optimal growth with a non-compact state space (2007)
Working Paper: Stochastic optimal growth with a non-compact state space (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedmwp:639

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