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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