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Wealth Dynamics

In: Heterogeneous Agents in Asset Pricing, Vol 1

Author

Listed:
  • Hamilton Galindo Gil

    (Cleveland State University, Department of Finance and Economics
    Universidad ESAN, Graduate School of Business)

Abstract

This chapter derives the wealth dynamics in continuous time, a fundamental component of the agent’s optimal control problem. The analysis begins by defining the agent’s budget constraint in discrete time. Subsequently, the budget constraint and the wealth equation are transformed into their continuous-time counterparts. These expressions are then integrated to formulate the agent’s continuous-time wealth dynamics. The chapter concludes with two illustrative examples.

Suggested Citation

  • Hamilton Galindo Gil, 2025. "Wealth Dynamics," Lecture Notes in Economics and Mathematical Systems, in: Heterogeneous Agents in Asset Pricing, Vol 1, chapter 0, pages 129-142, Springer.
    • Handle: RePEc:spr:lnechp:978-3-031-93263-2_4
    DOI: 10.1007/978-3-031-93263-2_4
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