Farmer, J. Doyne; Geanakoplos, John; Masoliver, Jaume; … - Cowles Foundation for Research in Economics, Yale University - 2014
If the historical average annual real interest rate is m 0, and if the world is stationary, should consumption in the distant future be discounted at the rate of m per year? Suppose the annual real interest rate r(t) reverts to m according to the Ornstein Uhlenbeck (OU) continuous time process...
