7 papers
A New Approach to Goodness of Fit for Ergodic Markov Processes
Vance Martin, Yoshihiko Nishiyama, John Stachurski +1
We introduce a new density-based goodness of fit test for ergodic Markov processes. Our test compares the data against the class of models specified in the null hypothesis, and rej…
Stationary Distributions in Monotone Markov Models: Theory and Applications
Takashi Kamihigashi, John Stachurski
Many economic models feature monotone Markov dynamics on state spaces that may be noncompact. Establishing existence, uniqueness, and stability of stationary distributions in such…
Dynamic Programming: From Local Optimality to Global Optimality
John Stachurski, Jingni Yang, Ziyue Yang
In the theory of dynamic programming, an optimal policy is a policy whose lifetime value dominates that of all other policies from every possible initial condition in the state spa…
Dynamic Programs on Partially Ordered Sets
Thomas J. Sargent, John Stachurski
We introduce a framework that represents a dynamic program as a family of operators acting on a partially ordered set. We provide an optimality theory based only on order-theoretic…
A Unified Stability Theory for Classical and Monotone Markov Chains
Takashi Kamihigashi, John Stachurski
This paper integrates two strands of the literature on stability of general state Markov chains: conventional, total variation based results and more recent order-theoretic results…
Partial Stochastic Dominance via Optimal Transport
Takashi Kamihigashi, John Stachurski
In recent years, a range of measures of partial stochastic dominance have been introduced. These measures attempt to determine the extent to which one distribution is dominated by…