Stochastic Stability in Monotone Economies

Takashi Kamihigashi and John Stachurski ()

No DP2010-12, Discussion Paper Series from Research Institute for Economics & Business Administration, Kobe University

Abstract: This paper presents new order-theoretic conditions for global stability of monotone Markov processes with possibly non-compact state spaces. Our main result shows that a Markov process induced by a continuous and increasing transition law is globally stable if it admits a Lyapunovlike function, and becomes larger than any given element of the state space with positive probability, or smaller than any given element of the state space with positive probability. This result applies to a wide range of stochastic economic models.

Keywords: Monotonicity; Stability; Markov process; Stochastic dynamics (search for similar items in EconPapers)
Pages: 37 pages
Date: 2010-04
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https://www.rieb.kobe-u.ac.jp/academic/ra/dp/English/DP2010-12.pdf First version, 2010 (application/pdf)

Related works:
Journal Article: Stochastic stability in monotone economies (2014)
Working Paper: Stochastic Stability in Monotone Economies (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:kob:dpaper:dp2010-12

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