Random Dynamical Systems with Multiplicative Noise

John Stachurski ()

No 834, Department of Economics - Working Papers Series from The University of Melbourne

Abstract: The paper considers random economic systems generating nonlinear time series on the positive half-ray R+. Using Liapunov techniques, new conditions for existence, uniqueness and stability of stationary equilibria are obtained. The conditions generalize earlier results from the mathematical literature, and extend to models outside the scope of existing economic methodology. An application to the stochastic growth problem with increasing returns is given.

Pages: 20 pages
Date: 2002
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