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A Stochastic Overlapping Generations Economy with Inheritance

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An overlapping generations model of an exchange economy with two sources of uncertainty is considered. Individuals have a finite expected life span and uncertain annual income. Conditions concerning birth, death, inheritance and bequests are fully specified. Under such conditions, the existence of a stationary Markovian equilibrium is established in some generality, and several explicitly solvable examples are examined in detail.

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Authors and Affiliations

  1. Departments of Mathematics and Statistics, Columbia University , New York, NY 10027, USA (e-mail: ik@math. columbia.edu), , , , , , US

    I. Karatzas

  2. Cowles Foundation for Research in Economics, Yale University, New Haven, CT 06520, USA (e-mail: martin.shubik@yale.edu), , , , , , US

    M. Shubik

  3. School of Statistics, University of Minnesota, Minneapolis, MN 55455, USA (e-mail: bill@stat.umn.edu), , , , , , US

    W. Sudderth

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  1. I. Karatzas
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  2. M. Shubik
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  3. W. Sudderth
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Received August 6, 2001; revised version received March 12, 2002 Published online: November 11, 2002

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Karatzas, I., Shubik, M. & Sudderth, W. A Stochastic Overlapping Generations Economy with Inheritance. JEcon 77, 207–240 (2002). https://doi.org/10.1007/s00712-002-0545-x

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  • DOI: https://doi.org/10.1007/s00712-002-0545-x

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