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ЖУРНАЛЫ // Вестник Санкт-Петербургского университета. Серия 10. Прикладная математика. Информатика. Процессы управления // Архив

Вестн. С.-Петербург. ун-та. Сер. 10. Прикл. матем. Информ. Проц. упр., 2013, выпуск 3, страницы 121–141 (Mi vspui142)

Прикладная математика

Optimal consumption under an uncertain inter-temporal budget: stochastic dynamic Slutsky equations

D. W. K. Yeungab

a 199034, St. Petersburg State University, Russian Federation
b SRS Consortium for Advanced Study in Cooperative Dynamic Games, Shue Yan University, Hong Kong, China

Аннотация: This paper extends Slutsky's classic work on consumer theory to a stochastic dynamic framework in which the consumer has an inter-temporal planning horizon with uncertain future incomes. Utility maximization leading to a set of ordinary wealth-dependent demand functions is performed. A dual problem is set up to derive the wealth compensated demand functions. This represents the first time that wealth-dependent ordinary demand functions and wealth compensated demand functions are obtained. A set of stochastic dynamic Slutsky equations is then derived. The extension incorporates realistic characteristics in consumer theory and advances the conventional static microeconomic study on consumption to a stochastic dynamic optimal control framework. Bibliogr. 17. Il. 2. Table 2.

Ключевые слова: al consumption, uncertain inter-temporal budget, stochastic dynamic programming, slutsky equation.

УДК: 517.929

Поступила: 21 марта 2013 г.

Язык публикации: английский



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