Stability of stochastic optimal growth models: a new approach

Nishimura, K;Stachurski, J
(2005) Journal of Economic Theory — Vol. 122, n° 1, p. 100-118 (2005)

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  • Nishimura, K
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  • Stachurski, J
    Author
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. (c) 2004 Elsevier Inc. All rights reserved.
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Nishimura, K., & Stachurski, J. (2005). Stability of stochastic optimal growth models: a new approach. Journal of Economic Theory, 122(1), 100-118. https://doi.org/10.1016/j.jet.2004.04.001 (Original work published 2005)