Stochastic stability of monotone economies in regenerative environments

Sergey Foss; Vsevolod Shneer; Jonathan P. Thomas; Tim Worrall

doi:10.1016/j.jet.2017.11.004

Stochastic stability of monotone economies in regenerative environments

Sergey Foss, Vsevolod Shneer, Jonathan P. Thomas, Tim Worrall

Applied Probability Laboratory

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

Abstract

We introduce and analyze a new class of monotone stochastic recursions in a regenerative environment which is essentially broader than that of Markov chains. We prove stability theorems and apply our results to three canonical models in recursive economics, generalizing some known stability results to the cases when driving sequences are not independent and identically distributed.

Original language	English
Pages (from-to)	334-360
Number of pages	27
Journal	Journal of Economic Theory
Volume	173
DOIs	https://doi.org/10.1016/j.jet.2017.11.004
Publication status	Published - 1 Jan 2018

Keywords

Bewley–Imrohoroglu–Huggett–Aiyagari model
Monotone economy
One sector stochastic growth model
Risk-sharing model
Stochastic recursion
Stochastic stability
DYNAMIC ECONOMIES
INSURANCE
RISK
COMMITMENT
EQUILIBRIUM
GROWTH
Bewley-Imrohoroglu-Huggett-Aiyagari model

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10.1016/j.jet.2017.11.004

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title = "Stochastic stability of monotone economies in regenerative environments",

abstract = "We introduce and analyze a new class of monotone stochastic recursions in a regenerative environment which is essentially broader than that of Markov chains. We prove stability theorems and apply our results to three canonical models in recursive economics, generalizing some known stability results to the cases when driving sequences are not independent and identically distributed.",

keywords = "Bewley–Imrohoroglu–Huggett–Aiyagari model, Monotone economy, One sector stochastic growth model, Risk-sharing model, Stochastic recursion, Stochastic stability, DYNAMIC ECONOMIES, INSURANCE, RISK, COMMITMENT, EQUILIBRIUM, GROWTH, Bewley-Imrohoroglu-Huggett-Aiyagari model",

author = "Sergey Foss and Vsevolod Shneer and Thomas, {Jonathan P.} and Tim Worrall",

year = "2018",

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doi = "10.1016/j.jet.2017.11.004",

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AU - Foss, Sergey

AU - Shneer, Vsevolod

AU - Thomas, Jonathan P.

AU - Worrall, Tim

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Y1 - 2018/1/1

N2 - We introduce and analyze a new class of monotone stochastic recursions in a regenerative environment which is essentially broader than that of Markov chains. We prove stability theorems and apply our results to three canonical models in recursive economics, generalizing some known stability results to the cases when driving sequences are not independent and identically distributed.

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KW - One sector stochastic growth model

KW - Risk-sharing model

KW - Stochastic recursion

KW - Stochastic stability

KW - DYNAMIC ECONOMIES

KW - INSURANCE

KW - RISK

KW - COMMITMENT

KW - EQUILIBRIUM

KW - GROWTH

KW - Bewley-Imrohoroglu-Huggett-Aiyagari model

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JO - Journal of Economic Theory

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