Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model

DOI10.1287/moor.15.1.80zbMath0707.90018OpenAlexW2040751993MaRDI QIDQ3489761

John P. Lehoczky, Ioannis Karatzas, Steven E. Shreve

Publication date: 1990

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/0e8bbf389b8dee068b72b1869a882558fefcecdc

zbMATH Keywords

semimartingalesstochastic differential equationscapital asset pricingfinite time horizonindividual commodity income streamsoptimal agent consumption and investment decision processes

Mathematics Subject Classification ID

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