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The target is being obtained under simplification of general equilibrium to exchange equilibrium, and with preference representation via a stochastic differential formulation of intertemporal recursive utility. The economy consists of \\(m \\in \\mathbb N\\) agents with utilities described by the following backward SDEs:  \\[ dU_t^i=-f^i(t,c_t,U_t^i,\\sigma_t^i)dt + {\\sigma_t^i}^TdB_t, \\; U_T^i=0,\\quad i\\in \\{1,\\dots,m\\}. \\]  Here, \\(c_t\\) is the time-realization of a stochastic consumption process, \\(\\sigma_t^i\\) is the volatility of \\(U_t^i\\), \\(f^i\\) is an aggregator function, and \\((B_t)\\) is an \\(n\\)-dimensional Brownian motion. The initial value \\(U_0^i = E[\\int_0^Tf^i(t,c_t,U_t^i,\\sigma_t^i)dt]\\) is a utility functional of the \\(i\\)th agent named `generalized stochastic differential utility' (GSDU). Each agent has an endowment \\(e^i\\). Exchange is defined by utilities \\(\\{U^i\\}\\), endowments \\(\\{e^i\\}\\) and a price system \\(\\Pi\\) (a linear functional on the commodity space). The equilibrium is defined in these terms as usual in the Arrow-Debreu setting.   The main result of the paper is the existence theorem of an equilibrium \\((\\bar{c}_1,\\dots,\\bar{c}_m; \\Pi)\\). The setting generalizes the models of \\textit{Z. Chen} and \\textit{L. Epstein} [Econometrica 70, No. 4, 1403--1443 (2002; Zbl 1121.91359)] as well as \\textit{T. F. Bewley} [Decis. Econ. 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