Optimal consumption with stochastic prices in continuous time

DOI10.2307/3214057MaRDI QIDQ3751315zbMATH OpenOpenAlexFDO

Authors

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

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

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