Sample-path stability of non-stationary dynamic economic systems

The goal of this paper is to introduce and illustrate a new approach to the stability analysis of sample-paths of non-linear stochastic economic models with non-stationary components. We place our study within the mathematical theory of random dynamical systems and apply the concept of a random fixe...

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Bibliographic Details
Published in:Annals of operations research 2002-08, Vol.114, p.263
Main Author: Klaus Reiner Schenk-Hoppe
Format: Article
Language:English
Subjects:
Dynamical systems
Economic models
Economic policy
Economic theory
Growth models
Mathematics
Operations research
Stochastic models
Studies
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Summary:The goal of this paper is to introduce and illustrate a new approach to the stability analysis of sample-paths of non-linear stochastic economic models with non-stationary components. We place our study within the mathematical theory of random dynamical systems and apply the concept of a random fixed point which is tailor-made for the study of the long-term behavior of sample-paths in stochastic systems. The main tool for the application of this approach is a Banach-type fixed point theorem for non-stationary random dynamical systems which is proved here. The concept and the theorem are thoroughly explained and illustrated by examples from stochastic growth theory. [PUBLICATION ABSTRACT]
ISSN:0254-5330
1572-9338
DOI:10.1023/A:1021074506105