Stochastic optimal growth with nonconvexities

Kazuo Nishimura; Ryszard Rudnicki; John Stachurski

doi:10.1016/j.jmateco.2005.08.002

Stochastic optimal growth with nonconvexities

Kazuo Nishimura
, Ryszard Rudnicki
, John Stachurski^*

^*Corresponding author for this work

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

11 Citations (Scopus)

Abstract

This paper studies optimal investment and dynamic behavior in stochastically growing economies. We assume neither convex technology nor bounded support of the productivity shocks. A number of basic results concerning the investment policy and the Ramsey-Euler equation are established. We also prove a fundamental dichotomy pertaining to optimal growth models perturbed by standard econometric shocks: either an economy is globally stable or it is globally collapsing to the origin.

Original language	English
Pages (from-to)	74-96
Number of pages	23
Journal	Journal of Mathematical Economics
Volume	42
Issue number	1
DOIs	https://doi.org/10.1016/j.jmateco.2005.08.002
Publication status	Published - Feb 2006
Externally published	Yes

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10.1016/j.jmateco.2005.08.002

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title = "Stochastic optimal growth with nonconvexities",

abstract = "This paper studies optimal investment and dynamic behavior in stochastically growing economies. We assume neither convex technology nor bounded support of the productivity shocks. A number of basic results concerning the investment policy and the Ramsey-Euler equation are established. We also prove a fundamental dichotomy pertaining to optimal growth models perturbed by standard econometric shocks: either an economy is globally stable or it is globally collapsing to the origin.",

keywords = "Instability, Nonconvexities, Optimal growth, Stability",

author = "Kazuo Nishimura and Ryszard Rudnicki and John Stachurski",

year = "2006",

month = feb,

doi = "10.1016/j.jmateco.2005.08.002",

language = "English",

volume = "42",

pages = "74--96",

journal = "Journal of Mathematical Economics",

issn = "0304-4068",

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TY - JOUR

T1 - Stochastic optimal growth with nonconvexities

AU - Nishimura, Kazuo

AU - Rudnicki, Ryszard

AU - Stachurski, John

PY - 2006/2

Y1 - 2006/2

N2 - This paper studies optimal investment and dynamic behavior in stochastically growing economies. We assume neither convex technology nor bounded support of the productivity shocks. A number of basic results concerning the investment policy and the Ramsey-Euler equation are established. We also prove a fundamental dichotomy pertaining to optimal growth models perturbed by standard econometric shocks: either an economy is globally stable or it is globally collapsing to the origin.

AB - This paper studies optimal investment and dynamic behavior in stochastically growing economies. We assume neither convex technology nor bounded support of the productivity shocks. A number of basic results concerning the investment policy and the Ramsey-Euler equation are established. We also prove a fundamental dichotomy pertaining to optimal growth models perturbed by standard econometric shocks: either an economy is globally stable or it is globally collapsing to the origin.

KW - Instability

KW - Nonconvexities

KW - Optimal growth

KW - Stability

UR - https://www.scopus.com/pages/publications/32044468119

U2 - 10.1016/j.jmateco.2005.08.002

DO - 10.1016/j.jmateco.2005.08.002

M3 - Article

SN - 0304-4068

VL - 42

SP - 74

EP - 96

JO - Journal of Mathematical Economics

JF - Journal of Mathematical Economics

IS - 1

ER -

Stochastic optimal growth with nonconvexities

Abstract

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