Stochastic optimal growth with a non-compact state space

Yuzhe Zhang ()

MPRA Paper from University Library of Munich, Germany

Abstract: This paper studies the stability of a stochastic optimal growth economy introduced by Brock and Mirman [Brock,W.A., Mirman, L., 1972. Optimal economic growth and uncertainty: the discounted case. Journal of Economic Theory 4, 479–513] 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.

Keywords: Stochastic growth; Stochastic dominance; Monotonic operator; Global stability (search for similar items in EconPapers)
JEL-codes: C61 C62 O41 (search for similar items in EconPapers)
Date: 2007-02
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Citations: View citations in EconPapers (28)

Published in Journal of Mathematical Economics 2.43(2007): pp. 115-129

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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 (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:23107

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