Growth and optimal intertemporal allocation of risks

DOI10.1016/0022-0531(75)90053-8MaRDI QIDQ1603225zbMATH OpenOpenAlexFDO

Authors 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

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

Cited in

(19)

• On the solution of a stochastic optimal growth model
• Applicable stochastic control: From theory to practice
• Computational aspects in applied stochastic control
• Stochastic growth: a duality approach.
• Intertemporal risk-return tradeoff in the short-run
• Optimal portfolios for logarithmic utility.
• Optimal investment problem under non-extensive statistical mechanics
• Large deviation principle for spatial economic growth model on networks
• The invariant distribution of wealth and employment status in a small open economy with precautionary savings
• A portfolio choice problem under risk capacity constraint
• 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
• scientific article; zbMATH DE number 4189439 (Why is no real title available?)
• 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
• On the adaptation of the Lagrange formalism to continuous time stochastic optimal control: a Lagrange-Chow redux
• Optimal portfolio and consumption decisions in a stochastic environment with precommitment
• Seierstad sufficient conditions for stochastic optimal control problems with infinite horizon
• Growth factor and expected growth factor of some pivoting strategies

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