Abstract
This paper studies the stability of a stochastic optimal growth economy introduced by Brock and Mirman [J. Econ. Theory 4 (1972)] by utilizing stochastic monotonicity in a dynamic system. The construction of two boundary distributions leads to a new method of studying systems with non-compact state space. The paper shows the existence of a unique invariant distribution. It also shows the equivalence between the stability and the uniqueness of the invariant distribution in this dynamic system.
Published in Journal of Mathematical Economics (Vol. 32, Iss. 2, February 2007, pp. 115-129), https://doi.org/10.1016/j.jmateco.2006.10.002.