Stability of stochastic optimal growth models: A new approach

Kazuo Nishimura; John Stachurski

doi:10.1016/j.jet.2004.04.001

Stability of stochastic optimal growth models: A new approach

Kazuo Nishimura, John Stachurski^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

33 Citations (Scopus)

Abstract

The paper proposes an Euler equation technique for analyzing the stability of differentiable stochastic programs. The main innovation is to use marginal reward directly as a Foster-Lyapunov function. This allows us to extend known stability results for stochastic optimal growth models, both weakening hypotheses and strengthening conclusions.

Original language	English
Pages (from-to)	100-118
Number of pages	19
Journal	Journal of Economic Theory
Volume	122
Issue number	1
DOIs	https://doi.org/10.1016/j.jet.2004.04.001
Publication status	Published - May 2005
Externally published	Yes

Access to Document

10.1016/j.jet.2004.04.001

Cite this

@article{98d1305e3e2e4a309c94875d58fa830c,

title = "Stability of stochastic optimal growth models: A new approach",

abstract = "The paper proposes an Euler equation technique for analyzing the stability of differentiable stochastic programs. The main innovation is to use marginal reward directly as a Foster-Lyapunov function. This allows us to extend known stability results for stochastic optimal growth models, both weakening hypotheses and strengthening conclusions.",

keywords = "Central limit theorem, Ergodicity, Law of large numbers, Optimal growth",

author = "Kazuo Nishimura and John Stachurski",

year = "2005",

month = may,

doi = "10.1016/j.jet.2004.04.001",

language = "English",

volume = "122",

pages = "100--118",

journal = "Journal of Economic Theory",

issn = "0022-0531",

publisher = "Academic Press Inc.",

number = "1",

}

TY - JOUR

T1 - Stability of stochastic optimal growth models

T2 - A new approach

AU - Nishimura, Kazuo

AU - Stachurski, John

PY - 2005/5

Y1 - 2005/5

N2 - The paper proposes an Euler equation technique for analyzing the stability of differentiable stochastic programs. The main innovation is to use marginal reward directly as a Foster-Lyapunov function. This allows us to extend known stability results for stochastic optimal growth models, both weakening hypotheses and strengthening conclusions.

AB - The paper proposes an Euler equation technique for analyzing the stability of differentiable stochastic programs. The main innovation is to use marginal reward directly as a Foster-Lyapunov function. This allows us to extend known stability results for stochastic optimal growth models, both weakening hypotheses and strengthening conclusions.

KW - Central limit theorem

KW - Ergodicity

KW - Law of large numbers

KW - Optimal growth

UR - http://www.scopus.com/inward/record.url?scp=16244372394&partnerID=8YFLogxK

U2 - 10.1016/j.jet.2004.04.001

DO - 10.1016/j.jet.2004.04.001

M3 - Article

SN - 0022-0531

VL - 122

SP - 100

EP - 118

JO - Journal of Economic Theory

JF - Journal of Economic Theory

IS - 1

ER -

Stability of stochastic optimal growth models: A new approach

Abstract

Access to Document

Other files and links

Fingerprint

Cite this