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Unrestricted consumption under a deterministic wealth and an Ornstein–Uhlenbeck process as a discount rate
We consider an individual or household endowed with an initial capital and an income, modeled as a linear function of time. Assuming that the discount rate evolves as an Ornstein–Uhlenbeck process, we target to find an unrestricted consumption strategy such that the value of the expected discounted...
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Taylor & Francis
2018
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6263020/ https://www.ncbi.nlm.nih.gov/pubmed/30532661 http://dx.doi.org/10.1080/15326349.2017.1392867 |