A NOTE ON ERGODIC DISTRIBUTIONS IN 2-AGENT ECONOMIES

Authors
SAITO M
Citation
M. Saito, A NOTE ON ERGODIC DISTRIBUTIONS IN 2-AGENT ECONOMIES, Journal of mathematical economics, 27(2), 1997, pp. 133-141
Citations number
11
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics,"Mathematical, Methods, Social Sciences",Mathematics
Journal title
Journal of mathematical economics → ACNP
ISSN journal
03044068
Volume
27
Issue
2
Year of publication
1997
Pages
133 - 141
Database
ISI
SICI code
0304-4068(1997)27:2<133:ANOEDI>2.0.ZU;2-4
Abstract
This paper analytically characterizes the wealth distribution of two t ypes of agents where each agent's wealth evolves according to an Ito p rocess with time-varying drifts and diffusions. The paper proposes a s imple method to derive a condition under which the wealth distribution is uniquely ergodic. An intuitive explanation of this condition is di scussed.