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Random Dynamical Systems with Multiplicative Noise

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  • John Stachurski

Abstract

The paper considers random economic systems generating nonlinear time series on the positive half-ray R+. Using Liapunov techniques, new conditions for existence, uniqueness and stability of stationary equilibria are obtained. The conditions generalize earlier results from the mathematical literature, and extend to models outside the scope of existing economic methodology. An application to the stochastic growth problem with increasing returns is given.

Suggested Citation

  • John Stachurski, 2002. "Random Dynamical Systems with Multiplicative Noise," Department of Economics - Working Papers Series 834, The University of Melbourne.
    • Handle: RePEc:mlb:wpaper:834
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    File URL: http://www.economics.unimelb.edu.au/downloads/wpapers-02/834.pdf
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    References listed on IDEAS

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