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Sample-Path Stability of Non-Stationary Dynamic Economic Systems (Revised Version)


Schenk-Hoppé, Klaus Reiner (2001). Sample-Path Stability of Non-Stationary Dynamic Economic Systems (Revised Version). Working paper series / Institute for Empirical Research in Economics No. 46, University of Zurich.

Abstract

The goal of this paper is to introduce and illustrate a new approach to the stability analysis of sample-paths of nonlinear 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 two examples from stochastic growth theory.

Abstract

The goal of this paper is to introduce and illustrate a new approach to the stability analysis of sample-paths of nonlinear 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 two examples from stochastic growth theory.

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Additional indexing

Item Type:Working Paper
Communities & Collections:03 Faculty of Economics > Department of Economics
Working Paper Series > Institute for Empirical Research in Economics (former)
Dewey Decimal Classification:330 Economics
Language:English
Date:March 2001
Deposited On:29 Nov 2011 21:26
Last Modified:21 Nov 2017 15:35
Series Name:Working paper series / Institute for Empirical Research in Economics
ISSN:1424-0459
Official URL:http://www.econ.uzh.ch/wp.html

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