A stochastic overlapping generation model with a continuum of agents

Emmanuelle Augeraud-Véron, and Delphine David. "A stochastic overlapping generation model with a continuum of agents." Banach Center Publications 83.1 (2008): 27-36. <http://eudml.org/doc/281628>.

@article{EmmanuelleAugeraud2008,
abstract = {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.},
author = {Emmanuelle Augeraud-Véron, Delphine David},
journal = {Banach Center Publications},
keywords = {stochastic overlapping generations; mixed-type functional differential equations},
language = {eng},
number = {1},
pages = {27-36},
title = {A stochastic overlapping generation model with a continuum of agents},
url = {http://eudml.org/doc/281628},
volume = {83},
year = {2008},
}

TY - JOUR
AU - Emmanuelle Augeraud-Véron
AU - Delphine David
TI - A stochastic overlapping generation model with a continuum of agents
JO - Banach Center Publications
PY - 2008
VL - 83
IS - 1
SP - 27
EP - 36
AB - 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.
LA - eng
KW - stochastic overlapping generations; mixed-type functional differential equations
UR - http://eudml.org/doc/281628
ER -