A stochastic overlapping generation model with a continuum of agent
نویسندگان
چکیده
We consider a stochastic overlapping generations model for a continuum of individuals with finite lives in presence of a financial market. In this paper, agent’s heterogeneity is given by the dates of birth of the households, on the contrary to standard models, in which each agent has his own aversion coefficient on his utility function. By means of the 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. Key-words: Stochastic overlapping generations, mixed-type functional differential equations. JEL Classification: G11, E44, D91. Mathematics Subject Classification (2000): 91B70, 91B62, 91B42.
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