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.
@article{bwmeta1.element.bwnjournal-article-doi-10_4064-bc83-0-2,
author = {Emmanuelle Augeraud-V\'eron and Delphine David},
title = {A stochastic overlapping generation model with a continuum of agents},
journal = {Banach Center Publications},
volume = {83},
year = {2008},
pages = {27-36},
zbl = {1153.91692},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-bc83-0-2}
}
Emmanuelle Augeraud-Véron; Delphine David. A stochastic overlapping generation model with a continuum of agents. Banach Center Publications, Tome 83 (2008) pp. 27-36. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-bc83-0-2/