• Corpus ID: 38492458

DYNAMIC EQUILIBRIUM IN A MULTI-AGENT ECONOMY : CONSTRUCTION AND UNIQUENESS by loannis Karatzas &

@inproceedings{Lakner2015DYNAMICEI,
  title={DYNAMIC EQUILIBRIUM IN A MULTI-AGENT ECONOMY : CONSTRUCTION AND UNIQUENESS by loannis Karatzas \&},
  author={Peter Lakner and John P. Lehoczky},
  year={2015}
}
We study an economy with several agents, who receive endowment streams denominated in units of a certain commodity over a finite horizon. The agents can consume the commodity, and they can also trade it at a certain "spot price" >/>; the proceeds of these transactions can be invested in financial assets, whose prices are modelled by continuous semimartingales. The objective of each agent is to choose a consumption/investment strategy that will maximize his expected utility from consumption and… 

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