Sensitivity of optimal consumption streams

DOI10.1016/J.SPA.2018.06.011MaRDI QIDQ2000136zbMATH OpenOpenAlexWikidataFDO

Authors Martin Herdegen, Johannes Muhle-Karbe

Publication date 28 June 2019

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL http://wrap.warwick.ac.uk/103876/13/WRAP-sensitivity-optimal-consumption-streams-Herdegen-2018.pdf

zbMATH Keywords

asymptotic analysisoptimal consumptionrandom endowment

Mathematics Subject Classification ID

Sensitivity, stability, well-posedness (49K40) Martingales with continuous parameter (60G44) Consumer behavior, demand theory (91B42)

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Cited in

(3)

• The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I: Foundations
• Trading with small nonlinear price impact
• Proper solutions for Epstein-Zin stochastic differential utility

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