A stochastic overlapping generation model with a continuum of agents

• Autorzy: Emmanuelle Augeraud-Véron , Delphine David
• Języki publikacji: EN

Abstrakty

EN

We consider a stochastic overlapping generations model for a continuum of individuals with finite lives in presence of a financial market. In this paper, an agent's heterogeneity is given by the dates of birth of the household members, in contrast to standard models, in which each agent has his own aversion coefficient on his utility function. By means of martingale arguments, we compute the agent's optimal consumption and portfolio. A characterization of interest rate trajectories is given by mixed-type functional differential equations and the stability of these trajectories is studied.

Kategorie tematyczne

• 91B70: Stochastic models
• 91B42: Consumer behavior, demand theory
• 91B62: Growth models

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Banach Center Publications
• Rocznik: 2008
• Tom: 83
• Numer: 1
• Strony: 27-36

Daty

wydano

2008

Twórcy

autor

Emmanuelle Augeraud-Véron

• Laboratoire de Mathématiques, Université de La Rochelle, Avenue Michel Crépeau, 17042 La Rochelle Cedex, France

autor

Delphine David

• Laboratoire de Mathématiques, Université de La Rochelle, Avenue Michel Crépeau, 17042 La Rochelle Cedex, France

Identyfikatory

DOI

10.4064/bc83-0-2