Geodesic
Optimal consumption under an uncertain inter-temporal budget: stochastic dynamic Slutsky equations
Vestnik Sankt-Peterburgskogo universiteta. Prikladnaâ matematika, informatika, processy upravleniâ, no. 3 (2013), pp. 121-141 Cet article a éte moissonné depuis la source Math-Net.Ru

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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.
Keywords: al consumption, uncertain inter-temporal budget, stochastic dynamic programming, slutsky equation. 
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D. W. K. Yeung. Optimal consumption under an uncertain inter-temporal budget: stochastic dynamic Slutsky equations. Vestnik Sankt-Peterburgskogo universiteta. Prikladnaâ matematika, informatika, processy upravleniâ, no. 3 (2013), pp. 121-141. http://geodesic.mathdoc.fr/item/VSPUI_2013_3_a12/

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