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]
@article{KaratzasLS90,
title = {Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model},
author = {Ioannis Karatzas and John P. Lehoczky and Steven E. Shreve},
year = {1990},
doi = {10.1287/moor.15.1.80},
url = {http://dx.doi.org/10.1287/moor.15.1.80},
researchr = {https://researchr.org/publication/KaratzasLS90},
cites = {0},
citedby = {0},
journal = {Math. Oper. Res.},
volume = {15},
number = {1},
pages = {80-128},
}