A stochastic overlapping generation model with a continuum of agents

Volume 83 / 2008

Emmanuelle Augeraud-Véron, Delphine David Banach Center Publications 83 (2008), 27-36 MSC: 91B70, 91B62, 91B42. DOI: 10.4064/bc83-0-2

Abstract

We consider a stochastic overlapping generations model for a continuum of individuals with finite lives in presence of a financial market. In this paper, an agent's heterogeneity is given by the dates of birth of the household members, in contrast to standard models, in which each agent has his own aversion coefficient on his utility function. By means of martingale arguments, we compute the agent's optimal consumption and portfolio. A characterization of interest rate trajectories is given by mixed-type functional differential equations and the stability of these trajectories is studied.

Authors

  • Emmanuelle Augeraud-VéronLaboratoire de Mathématiques
    Université de La Rochelle
    Avenue Michel Crépeau
    17042 La Rochelle Cedex, France
    e-mail
  • Delphine DavidLaboratoire de Mathématiques
    Université de La Rochelle
    Avenue Michel Crépeau
    17042 La Rochelle Cedex, France
    e-mail

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