Unrestricted consumption under a deterministic wealth and an Ornstein–Uhlenbeck process as a discount rate
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Publication:4643635
DOI10.1080/15326349.2017.1392867zbMath1386.93305arXiv1603.07622OpenAlexW2963640575WikidataQ90376529 ScholiaQ90376529MaRDI QIDQ4643635
Publication date: 28 May 2018
Published in: Stochastic Models (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1603.07622
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Consumer behavior, demand theory (91B42)
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