This paper studies optimal investment and dynamic behaviour of stochastically growing economies. We assume neither convex technology nor bounded support of the productivity shocks. A number of basic results concerning the investment policy and the Ramsey–Euler equation are established. We also...

This paper studies a multisector model of commodity markets with storage, solving the representative agent problem and obtaining the corresponding decentralized equilibrium. We describe the dynamics of the model, establishing geometric ergodicity, a Law of Large Numbers and a Central Limit Theorem.

This paper introduces a multisector model of commodity markets with storage, where equilibrium is defined by profit maximization, arbitrage and market clearing conditions. We then solve for the decentralized equilibrium via a corresponding dynamic program. We also describe the dynamics of the...

Dutta (J. Econom. Theory, 1991, 55, 64?94) showed that long-run optimality of the limit of discounted optima when the discount rate vanishes is implied by a certain bound on the value function of the optimal program. We introduce a new method to verify this bound using coupling techniques.

Using a variation of the coupling from the past technique, this paper develops algorithms which generate independent observations from the stationary distributions of various dynamic economic models. These variates can be used for calibration, calculation of steady state phenomena, and...

This paper studies a multisector model of commodity markets with storage, solving the representative agent problem and obtaining the corresponding decentralized equilibrium. We describe the dynamics of the model, establishing geometric ergodicity, a Law of Large Numbers and a Central Limit Theorem.

It has been shown that long-run optimality of the limit of discounted optima when the discount rate vanishes is implied by a condition on the value function of the optimal program. We suggest a new method to verify this condition in the context of one-sector optimal growth. The idea should be...