Random fixed points in a stochastic Solow growth model

This paper presents a complete analysis of a stochastic version of the Solow growth model in which all parameters are ergodic random variables. Applying random dynamical systems theory, we prove that the dynamics and, in particular, the long-run behavior is uniquely determined by a globally attracti...

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Bibliographic Details
Published in:Journal of mathematical economics 2001-09, Vol.36 (1), p.19-30
Main Authors: Klaus Reiner Schenk-Hoppe, SchmalfuB, Bjorn
Format: Article
Language:English
Subjects:
Dynamics
Economic theory
Equilibrium
Ergodic Markov equilibria
Growth models
Markov analysis
Markovian processes
Mathematical economics
Random dynamical systems
Random fixed points
Random variables
Solow growth model
Stochastic models
Stochastic processes
Studies
System theory
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Summary:This paper presents a complete analysis of a stochastic version of the Solow growth model in which all parameters are ergodic random variables. Applying random dynamical systems theory, we prove that the dynamics and, in particular, the long-run behavior is uniquely determined by a globally attracting stable random fixed point. We also discuss the relation of our approach to that of ergodic Markov equilibria.
ISSN:0304-4068
1873-1538
DOI:10.1016/S0304-4068(01)00062-3