Asymptotic Growth under Uncertainty: Existence and Uniqueness

S-Tier
Journal: Review of Economic Studies
Year: 1987
Volume: 54
Issue: 1
Pages: 169-174

Authors (2)

Fwu-Ranq Chang (not in RePEc) A. G. Malliaris (Loyola University)

Score contribution per author:

4.022 = (α=2.01 / 2 authors) × 4.0x S-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper demonstrates, using the Reflection Principle, the existence and uniqueness of the solution to the classic Solow equation under continuous time uncertainty for the class of strictly concave production functions which are continuously differentiable on the nonnegative real numbers. This class contains all CES functions with elasticity of substitution less than unity. A steady state distribution also exists for this class of production functions which have a bounded slope at the origin. A condition on the drift-variance ratio of the stochastic differential equation alone, independent of technology and the savings ratio, is found to be necessary for the existence of a steady state.

Technical Details

RePEc Handle
repec:oup:restud:v:54:y:1987:i:1:p:169-174.
Journal Field
General
Author Count
2
Added to Database
2026-01-25