Small noise asymptotics for a stochastic growth model

Journal of Economic Theory

Volumn 119, Issue 2, 2004, Pages 271-298

  Williams, Noah ^a,b  

^a PRINCETON UNIVERSITY   (United States)

^b NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

Author keywords

Asymptotic methods; Economic fluctuations; Large deviations

Indexed keywords

EID: 10144232105     PISSN: 00220531     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jet.2003.12.007     Document Type: Article

References (33)

1. Amir R. A new look at optimal growth under uncertainty J. Econ. Dynam. Control 22 1997 67-86
2. Araujo A. The once but not twice differentiability of the policy function Econometrica 59 1991 1383-1393
3. R. Azencott Grandes deviations et applications, in: Ecole d'Eté de Probabilités de Saint-Flour VIII-1978, Springer, New York, 1980
4. Blume L. Easley D. O'Hara M. Characterization of optimal plans for stochastic dynamic programs J. Econ. Theory 28 1982 221-234
5. Brock W.A. Mirman L.J. Optimal economic growth and uncertainty: the discounted case J. Econ. Theory 4 1972 479-513
6. Campbell J. Inspecting the mechanism: An analytical approach to the stochastic growth model J. Monet. Econ. 33 1994 463-506
7. Dembo A. Zeitouni O. Large Deviations Techniques and Applications 2nd Edition 1998 Springer New York
8. Dudley R.M. Real Analysis and Probability 1989 Wadsworth Pacific Grove, CA
9. Fleming W.H. Stochastic control for small noise intensities SIAM J. Control Optim. 9 1971 473-517
10. Fleming W.H. James M.R. Asymptotic series and exit time probabilities Ann. Appl. Probab. 20 1992 1369-1384
11. Fleming W.H. Souganidis P.E. Asymptotic series and the method of vanishing viscosity Indiana Univ. Math. J. 35 1986 425-447
12. Gaspar J. Judd K.L. Solving large-scale rational expectations models Macroecon. Dynam. 1 1997 45-75
13. Johnson N. Kotz S. Continuous Univariate Distributions 1970 Houghton Mifflin Boston
14. Judd K.L. Numerical Methods in Economics 1998 MIT Press Cambridge
15. K.L. Judd S.M. Guu Perturbation solution methods for economic growth models, in: H. Varian (Ed.), Economic and Financial Modeling with Mathematica, Springer, New York, 1993
16. Judd K.L. Guu S.M. Asymptotic methods for aggregate growth models J. Econ. Dynam. Control 21 1997 1025-1042
17. K. Kasa Learning, large deviations, and recurrent currency crises, Mimeo, Simon Fraser University, 2001
18. Kim J. Kim S. Spurious welfare reversals in international business cycle models J. Int. Econ. 60 2003 471-500
19. King R.G. Plosser C.I. Rebelo S.T. Production, growth, and business cycles I: The basic neoclassical model J. Monet. Econ. 21 1988 309-342
20. Klebaner F.C. Liptser R. Moderate deviations for randomly perturbed dynamical systems Stochastic Processes Appl. 80 1999 157-176
21. Klebaner F.C. Nerman O. Autoregressive approximation in branching processes with a threshold Stochastic Processes Appl. 51 1994 1-7
22. Klebaner F.C. Zeitouni O. The exit problem for a class of density-dependent branching systems Ann. Appl. Probab. 4 1994 1188-1205
23. Kushner H.J. Robustness and approximation of escape times and large deviations estimates for systems with small noise effects SIAM J. Appl. Math. 44 1984 160-182
24. Kushner H.J. Yin G.G. Stochastic Approximation Algorithms and Applications 1997 Springer New York
25. Kydland F.E. Prescott E.C. Time to build and aggregate fluctuations Econometrica 50 1982 1345-1370
26. Lewis F.L. Optimal control 1986 Wiley New York
27. Magill M. A local analysis of N-sector capital accumulation under uncertainty J. Econ. Theory 15 1977 211-218
28. Prandini J.C. The limiting behavior of Solow's model with uncertainty when the variance goes to zero Econ. Theory 4 1994 799-809
29. Santos M.S. Smoothness of the policy function in discrete time economic models Econometrica 59 1991 1365-1382
30. Santos M.S. On high-order differentiability of the policy function Econ. Theory 3 1993 565-570
31. Santos M.S. Vigo-Aguiar J. Analysis of a numerical dynamic programming algorithm applied to economic models Econometrica 66 1998 409-426
32. J. Stock M. Watson Business cycle fluctuations in US macroeconomic time series, in: J. Taylor, M. Woodford (Eds.), Handbook of Macroeconomics, Elsevier, Amsterdam, 1999
33. Stokey N.L. Lucas R.E. Prescott E.C. Recursive Methods in Economic Dynamics 1989 Harvard University Press Cambridge