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Drift criteria for persistence of discrete stochastic processes on the line

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  • Bottazzi, Giulio
  • Dindo, Pietro

Abstract

We provide sufficient conditions for the persistence or transience of stochastic processes on the real line based on the behavior of the first and second moment of their conditional increments at the boundaries. Our findings extend previous results in the literature (Lamperti, 1960) to the large class of discrete-time processes with bounded increments. We present some examples of application by studying survival and dominance of agents trading in complete financial markets.

Suggested Citation

  • Bottazzi, Giulio & Dindo, Pietro, 2022. "Drift criteria for persistence of discrete stochastic processes on the line," Journal of Mathematical Economics, Elsevier, vol. 101(C).
    • Handle: RePEc:eee:mateco:v:101:y:2022:i:c:s0304406822000465
    DOI: 10.1016/j.jmateco.2022.102696
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    References listed on IDEAS

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    1. Daniele Giachini, 2021. "Rationality and asset prices under belief heterogeneity," Journal of Evolutionary Economics, Springer, vol. 31(1), pages 207-233, January.
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    Cited by:

    1. Bottazzi, Giulio & Giachini, Daniele & Ottaviani, Matteo, 2023. "Market selection and learning under model misspecification," Journal of Economic Dynamics and Control, Elsevier, vol. 156(C).

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