Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model

Ioannis Karatzas, John P. Lehoczky, Steven E. Shreve. Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model. Math. Oper. Res., 15(1):80-128, 1990. [doi]

Abstract

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