Add to ORKGWe study a dynamic stochastic general equilibrium model in continuous time. Related work has proven that optimal consumption in this model is a smooth function of state variables. This allows us to describe the evolution of optimal state variables (wealth and labour market status) by stochastic di¤erential equations. We derive conditions under which an invariant distribution for state variables exists and is unique. We also provide conditions such that initial distributions converge to the long-run distribution. JEL Codes: C62, D91, E24, J6
We develop from basic economic principles a continuous-time model for a large investor who trades wi...
We consider a system of stochastic equations which models the population dynamics of a prey-predator...
summary:The paper presents a review of some recent results on uniqueness of invariant measures for s...
We study an optimal precautionary-saving problem in continuous time. The evo-lution of optimally evo...
State prices are the fundamental building block for dynamic asset pricing models. We provide here a ...
This paper extends Kurz's (1968) growth model to a stochastic growth framework with social-stat...
This paper extends Kurz’s (1968) growth model to a stochastic growth framework with the social-statu...
We study a one-sector stochastic optimal growth model with a representative agent. Utility is logari...
<div>This paper examines the invariant Markov distribution associated with the rational expectations...
AbstractWe consider a system of stochastic equations which models the population dynamics of a prey–...
International audienceFor Markovian economic models, long-run equilibria are typically identified wi...
For Markovian economic models, long-run equilibria are typically identified with the stationary (inv...
This paper studies the equilibria of a stochastic OLG exchange economies consisting of identical age...
We prove existence of equilibrium in a continuous-time securities market in which the securities are...
This paper extends Kurz¡¯s (1968) growth model to a stochastic growth framework with the social-stat...
We develop from basic economic principles a continuous-time model for a large investor who trades wi...
We consider a system of stochastic equations which models the population dynamics of a prey-predator...
summary:The paper presents a review of some recent results on uniqueness of invariant measures for s...
We study an optimal precautionary-saving problem in continuous time. The evo-lution of optimally evo...
State prices are the fundamental building block for dynamic asset pricing models. We provide here a ...
This paper extends Kurz's (1968) growth model to a stochastic growth framework with social-stat...
This paper extends Kurz’s (1968) growth model to a stochastic growth framework with the social-statu...
We study a one-sector stochastic optimal growth model with a representative agent. Utility is logari...
<div>This paper examines the invariant Markov distribution associated with the rational expectations...
AbstractWe consider a system of stochastic equations which models the population dynamics of a prey–...
International audienceFor Markovian economic models, long-run equilibria are typically identified wi...
For Markovian economic models, long-run equilibria are typically identified with the stationary (inv...
This paper studies the equilibria of a stochastic OLG exchange economies consisting of identical age...
We prove existence of equilibrium in a continuous-time securities market in which the securities are...
This paper extends Kurz¡¯s (1968) growth model to a stochastic growth framework with the social-stat...
We develop from basic economic principles a continuous-time model for a large investor who trades wi...
We consider a system of stochastic equations which models the population dynamics of a prey-predator...
summary:The paper presents a review of some recent results on uniqueness of invariant measures for s...