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

Лаборатория прикладной вероятности ММФ

Результат исследования: Научные публикации в периодических изданиях › статья › рецензирование

6 Цитирования (Scopus)

Аннотация

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.

Язык оригинала	английский
Страницы (с-по)	334-360
Число страниц	27
Журнал	Journal of Economic Theory
Том	173
DOI	https://doi.org/10.1016/j.jet.2017.11.004
Состояние	Опубликовано - 1 янв. 2018

Предметные области OECD FOS+WOS

5.02.GY ЭКОНОМИКА

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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",

note = "Publisher Copyright: {\textcopyright} 2017",

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Stochastic stability of monotone economies in regenerative environments. / Foss, Sergey; Shneer, Vsevolod; Thomas, Jonathan P. и др.

В: Journal of Economic Theory, Том 173, 01.01.2018, стр. 334-360.

Результат исследования: Научные публикации в периодических изданиях › статья › рецензирование

TY - JOUR

T1 - Stochastic stability of monotone economies in regenerative environments

AU - Foss, Sergey

AU - Shneer, Vsevolod

AU - Thomas, Jonathan P.

AU - Worrall, Tim

PY - 2018/1/1

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.

AB - 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.

KW - Bewley–Imrohoroglu–Huggett–Aiyagari model

KW - Monotone economy

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

UR - http://www.scopus.com/inward/record.url?scp=85035083617&partnerID=8YFLogxK

U2 - 10.1016/j.jet.2017.11.004

DO - 10.1016/j.jet.2017.11.004

M3 - Article

AN - SCOPUS:85035083617

VL - 173

SP - 334

EP - 360

JO - Journal of Economic Theory

JF - Journal of Economic Theory

SN - 0022-0531

ER -

Stochastic stability of monotone economies in regenerative environments

Аннотация

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