Optimal consumption with stochastic prices in continuous time
DOI10.2307/3214057zbMATH Open0611.90008OpenAlexW4253527241MaRDI QIDQ3751315FDOQ3751315
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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
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stochastic differential equationsgeometric Brownian motionsoptimal consumption policyseparable utility function
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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