This paper studies fitted value iteration for continuous state dynamic programming using nonexpansive function approximators. A number of nonexpansive approximation schemes are discussed. The main contribution is to provide error bounds for approximate optimal policies generated by the value...

This paper establishes global stability for a class of stochastic increasing returns accumulation models. The nature of the unique stochastic steady state is investigated. It is found that the models generate highly path dependent time series over long horizons. The findings demonstrate that the...

This paper studies the convergence properties of a Monte Carlo algorithm for computing distributions of state variables when the underlying model is a Markov chain with absolutely continuous transition probabilities. We show that the L1 error of the estimator always converges to zero with...

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...

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 note considers finite state Markov chains which overlap supports. While the overlapping supports condition is known to be necessary and sufficient for stability of these chains, the result is typically presented in a more general context. As such, one objective of the note is to provide an...

The paper introduces a multiplicative drift condition for evaluating stochastic economic models. The drift condition is shown to permit computation of quantitative bounds for extreme event probabilities in terms of the model primitives. By way of illustration, the technique is applied to a...