The paper derives the solution to a simple stochastic continuous-time dynamic control problem in which a consumer determines consumption and saving while moving between employment and unemployment according to a Markov process. The results differ from the permanent income hypothesis and some of Hall's 1978 results based on autoregressive income shocks.
We analyse optimal saving of risk-averse households when labour income stochastically jumps between ...
This paper deals with optimal consumption over time. The starting point is a dynamic utility functio...
The article of record may be found at http://dx.doi.org/10.1016/j.jet.2016.04.002We develop a tracta...
This appendix first illustrates how to use the Markov-chain approximation method to solve a standard...
Decision problems about consumption and insurance are modelled in a continuous time mul-tistate Mark...
Decision problems about consumption and insurance are modelled in a continuous time mul-tistate Mark...
This model provides a closed form solution to the problem of liquidity constrained consumption with ...
The theory of Markov Decision Processes is the theory of controlled Markov chains. Its origins can b...
We study optimal savings in continuous time with exogenous transitions between employment and unempl...
It is generally agreed that the consumption path implied by the standard stochastic life-cycle versi...
This paper derives the explicit solution of a dynamic stochastic optimal consumption problem for inf...
This paper derives the explicit solution of a dynamic stochastic optimal consumption problem for inf...
We derive a generalised version of the Ramsey-type consumption function when labour income is assume...
Recent empirical research, Flavin (1981), Hagashi (1982), has rejected the certainty-equivalent form...
This paper argues that the modern stochastic consumption model, in which impatient consumers face un...
We analyse optimal saving of risk-averse households when labour income stochastically jumps between ...
This paper deals with optimal consumption over time. The starting point is a dynamic utility functio...
The article of record may be found at http://dx.doi.org/10.1016/j.jet.2016.04.002We develop a tracta...
This appendix first illustrates how to use the Markov-chain approximation method to solve a standard...
Decision problems about consumption and insurance are modelled in a continuous time mul-tistate Mark...
Decision problems about consumption and insurance are modelled in a continuous time mul-tistate Mark...
This model provides a closed form solution to the problem of liquidity constrained consumption with ...
The theory of Markov Decision Processes is the theory of controlled Markov chains. Its origins can b...
We study optimal savings in continuous time with exogenous transitions between employment and unempl...
It is generally agreed that the consumption path implied by the standard stochastic life-cycle versi...
This paper derives the explicit solution of a dynamic stochastic optimal consumption problem for inf...
This paper derives the explicit solution of a dynamic stochastic optimal consumption problem for inf...
We derive a generalised version of the Ramsey-type consumption function when labour income is assume...
Recent empirical research, Flavin (1981), Hagashi (1982), has rejected the certainty-equivalent form...
This paper argues that the modern stochastic consumption model, in which impatient consumers face un...
We analyse optimal saving of risk-averse households when labour income stochastically jumps between ...
This paper deals with optimal consumption over time. The starting point is a dynamic utility functio...
The article of record may be found at http://dx.doi.org/10.1016/j.jet.2016.04.002We develop a tracta...