COWLES FOUNDATION FOR RESEARCH IN ECONOMICS
AT YALE UNIVERSITY

Box 208281
New Haven, CT 06520-8281

COWLES FOUNDATION DISCUSSION PAPER NO. 1262

A Stochastic Overlapping Generations Economy with Inheritance

Ioannis Karatzas, Martin Shubik, William D. Sudderth

June 2000

An overlapping generations model of an exchange economy is considered, with individuals having a finite expected life-span. Conditions concerning birth, death, inheritance and bequests are fully specified. Under such conditions, the existence of stationary Markov equilibrium is established in some generality, and several explicitly solvable examples are treated in detail.

Keywords: Overlapping generations, inheritance, stochastic process, life span

JEL Classification: C72, C73, D80