Existence, Uniqueness and Stability of Invariant Distributions in Continuous-Time Stochastic Models
نویسندگان
چکیده
We 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.
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