Equilibrium in a stochastic model with consumption, wages and investment (Q5939300): Difference between revisions

Using results of convex analysis (e.g. in order to treat utility functions depending on more than one control variables, here: consumption of the good and of leisure) and of stochastic analysis the authors extend the equilibrium model of \textit{I. Karatzas, J. P. Lehoczky} and \textit{S. E. Shreve} [Math. Oper. Res. 15, 80-128 (1990; Zbl 0707.90018)] and prove that there is an equilibrium of the market in their economy. To get this result the optimization problems of the individual agents, of a single fictitous representative agent and of the manager are shown to be solvable. Two examples (logarithmic and power utility) complete the paper.