Stochastic stability of monotone economies in regenerative environments

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

doi:10.1016/j.jet.2017.11.004

Stochastic stability of monotone economies in regenerative environments

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

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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
Early online date	21 Nov 2017
DOIs	https://doi.org/10.1016/j.jet.2017.11.004
Publication status	Published - Jan 2018

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Vsevolod Shneer
- V.Shneerhw.acuk
- School of Mathematical & Computer Sciences - Associate Professor
- School of Mathematical & Computer Sciences, Actuarial Mathematics & Statistics - Associate Professor
Person: Academic (Research & Teaching)

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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.",

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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.

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DO - 10.1016/j.jet.2017.11.004

M3 - Article

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SP - 334

EP - 360

JO - Journal of Economic Theory

JF - Journal of Economic Theory

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Stochastic stability of monotone economies in regenerative environments

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Vsevolod Shneer

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