Stochastic Optimal Growth with a Non-Compact State Space

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Creator Series Issue number
  • 639
Date Created
  • 2005-10
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.

Subject (JEL) Keyword Related information Corporate Author
  • Federal Reserve Bank of Minneapolis. Research Department
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  • Federal Reserve Bank of Minneapolis
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