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.
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.