Growth and optimal intertemporal allocation of risks

DOI10.1016/0022-0531(75)90053-8zbMath1011.91504OpenAlexW2068177239MaRDI QIDQ1603225

Jean-Michel Bismut

Publication date: 21 May 2003

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0022-0531(75)90053-8

Mathematics Subject Classification ID

Related Items (14)

Applicable stochastic control: From theory to practice ⋮ Optimal portfolios for logarithmic utility. ⋮ Computational aspects in applied stochastic control ⋮ Dynamic programming principle and associated Hamilton-Jacobi-Bellman equation for stochastic recursive control problem with non-Lipschitz aggregator ⋮ A Stochastic Model of Economic Growth in Time-Space ⋮ A portfolio choice problem under risk capacity constraint ⋮ Stability and mean growth rate of stochastic Solow model driven by jump-diffusion process ⋮ Optimal control of path-dependent McKean-Vlasov SDEs in infinite-dimension ⋮ Stochastic growth: a duality approach. ⋮ On the solution of a stochastic optimal growth model ⋮ Optimal portfolio and consumption decisions in a stochastic environment with precommitment ⋮ Optimal investment problem under non-extensive statistical mechanics ⋮ The invariant distribution of wealth and employment status in a small open economy with precautionary savings ⋮ Large deviation principle for spatial economic growth model on networks

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Conjugate convex functions in optimal stochastic control
• Unnamed Item

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