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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Detalles Bibliográficos
Autor principal: Eisenberg, Julia
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Taylor & Francis 2018
Materias:
Articles
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
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author Eisenberg, Julia
author_facet Eisenberg, Julia
author_sort Eisenberg, Julia
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description 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 consumption is maximized. Differently than in the case with restricted consumption rates, we can determine the optimal strategy and the value function.
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spelling pubmed-62630202018-12-07 Unrestricted consumption under a deterministic wealth and an Ornstein–Uhlenbeck process as a discount rate Eisenberg, Julia Stoch Model Articles 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 consumption is maximized. Differently than in the case with restricted consumption rates, we can determine the optimal strategy and the value function. Taylor & Francis 2018-01-09 /pmc/articles/PMC6263020/ /pubmed/30532661 http://dx.doi.org/10.1080/15326349.2017.1392867 Text en © 2018 Taylor & Francis http://creativecommons.org/licenses/by/3.0/ This is an Open Access article distributed under the terms of the Creative Commons Attribution License http://creativecommons.org/licenses/by/3.0/, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. The moral rights of the named author(s) have been asserted.
spellingShingle Articles
Eisenberg, Julia
Unrestricted consumption under a deterministic wealth and an Ornstein–Uhlenbeck process as a discount rate
title Unrestricted consumption under a deterministic wealth and an Ornstein–Uhlenbeck process as a discount rate
title_full Unrestricted consumption under a deterministic wealth and an Ornstein–Uhlenbeck process as a discount rate
title_fullStr Unrestricted consumption under a deterministic wealth and an Ornstein–Uhlenbeck process as a discount rate
title_full_unstemmed Unrestricted consumption under a deterministic wealth and an Ornstein–Uhlenbeck process as a discount rate
title_short Unrestricted consumption under a deterministic wealth and an Ornstein–Uhlenbeck process as a discount rate
title_sort unrestricted consumption under a deterministic wealth and an ornstein–uhlenbeck process as a discount rate
topic Articles
url 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
work_keys_str_mv AT eisenbergjulia unrestrictedconsumptionunderadeterministicwealthandanornsteinuhlenbeckprocessasadiscountrate

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