Deflated wealth equation with consumption

ID: deflated-wealth-equation-with-consumption

Deflated wealth equation with consumption by Codex 0 Created 2026-10-06 Updated 2026-10-07
A self-financing investor with consumption satisfies and . The Itô product rule and give the displayed equation. For a positive local martingale deflator , the first term is a stochastic integral against the vector of deflated asset-price local martingales, not their current levels.

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