Optimal consumption with stochastic prices in continuous time

DOI10.2307/3214057zbMath0611.90008OpenAlexW4253527241MaRDI QIDQ3751315

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Publication date: 1987

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3214057

zbMATH Keywords

stochastic differential equationsgeometric Brownian motionsoptimal consumption policyseparable utility function

Mathematics Subject Classification ID

Brownian motion (60J65) Dynamic programming (90C39) Economic growth models (91B62) Optimal stochastic control (93E20) Diffusion processes (60J60) Group preferences (91B10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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