Martingale conditions for optimal saving-discrete time

DOI10.1016/0304-4068(78)90007-1zbMath0377.90020OpenAlexW2137205519MaRDI QIDQ1246377

Lucien Foldes

Publication date: 1978

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/3231/

Mathematics Subject Classification ID

Trade models (91B60)

Related Items (3)

Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments ⋮ Necessity of the transversality condition for stochastic models with bounded or CRRA utility ⋮ Valuation and martingale properties of shadow prices: an exposition

Cites Work

• Characterization by prices of optimal programs under uncertainty
• On optimal growth under uncertainty
• Optimal Saving and Risk in Continuous Time

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