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README.rst

Stability of Stochastic Optimal Growth Models: A New Approach

This page collects files for the paper Stability of Stochastic Optimal Growth Models: A New Approach by Kazuo Nishimura and John Stachurski.

Publication Details

Stability of Stochastic Optimal Growth Models: A New Approach
Kazuo Nishimura and John Stachurski
Journal of Economic Theory, 122 (1), 100--118, 2005

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.

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