Stimulating Prices in a Stochastic Model of Resource Allocation
Published Online:1 Feb 1983https://doi.org/10.1287/moor.8.1.151
Abstract
The optimal allocation for a general stochastic model for the sequential allocation of a resource between consumption and production is derived. A system of prices for the resource which stimulates this optimal allocation is identified. These prices are shown to be the product of a certain martingale and a random discount factor.
