Stability of stochastic optimal growth models: a new approach |
| |
| Authors: | Kazuo Nishimura |
| |
| Institution: | a Institute of Economic Research, Kyoto University, Yoshida-honmachi, Sakyo-ku, Kyoto 606-8501, Japan
b Center for Operations Research and Econometrics, Université Catholique de Louvain, 34 Voie du Roman Pays, B-1348 Louvain-la-Neuve, Belgium |
| |
| 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. |
| |
| Keywords: | C61 C62 O41 |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
