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Creator: Zhang, Yuzhe Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 639 Abstract:
This paper studies the stability of a stochastic optimal growth economy introduced by Brock and Mirman [J. Econ. Theory 4 (1972)] 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.
Mot-clé: Monotonic operator, Stochastic dominance, Stochastic growth, and Global stability Assujettir: O41 - One, Two, and Multisector Growth Models, C62 - Existence and Stability Conditions of Equilibrium, and C61 - Optimization Techniques; Programming Models; Dynamic Analysis