A functional central limit theorem for equilibrium paths of economic dynamics

R. Amir; I.V. Evstigneev

doi:10.1016/S0304-4068(99)00006-3

Back

A functional central limit theorem for equilibrium paths of economic dynamics

Journal article

Peer reviewed

A functional central limit theorem for equilibrium paths of economic dynamics

R. Amir and I.V. Evstigneev

Journal of mathematical economics, Vol.33(1), pp.81-99

02/01/2000

DOI: 10.1016/S0304-4068(99)00006-3

View Online

Abstract

In this paper, we analyze probability distributions associated with stochastic equilibrium paths of economic dynamics. We consider sums of random variables (aggregate rewards or utilities) depending on successive states of the equilibrium paths. We describe conditions under which the sequences of these sums can be approximated in distribution by Brownian motion.

Brownian approximation

Central limit theorem

Equilibrium dynamics

Exponential turnpike property

Details

Title: Subtitle: A functional central limit theorem for equilibrium paths of economic dynamics
Creators: R. Amir - Odense University
I.V. Evstigneev - Central Economics and Mathematics Institute
Resource Type: Journal article
Publication Details: Journal of mathematical economics, Vol.33(1), pp.81-99
Publisher: Elsevier B.V
DOI: 10.1016/S0304-4068(99)00006-3
ISSN: 0304-4068
eISSN: 1873-1538
Language: English
Date published: 02/01/2000
Academic Unit: Economics
Record Identifier: 9984380482502771

Metrics

1 Record Views

3 Times Cited - Web of Science