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arXiv · 1409.2286

Stochastic Stability of Monotone Economies in Regenerative Environments

Sergey 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.

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Sergey Foss, Vsevolod Shneer, Jonathan P. Thomas, Tim Worrall. 2014-09-08. Stochastic Stability of Monotone Economies in Regenerative Environments. https://doi.org/10.1016/j.jet.2017.11.004

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