Radner equilibrium and systems of quadratic BSDEs with discontinuous generators

DOI10.1214/21-AAP1765zbMath1498.60209arXiv2008.03500OpenAlexW3048097673MaRDI QIDQ2094573

Hao Xing, Luis Escauriaza, Daniel C. Schwarz

Publication date: 31 October 2022

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2008.03500

zbMATH Keywords

general equilibriumbackward stochastic differential equationsunique continuationbackward uniquenessquadratic nonlinearitiesdiscontinuous generatorsystems of BSDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) General equilibrium theory (91B50) Continuation and prolongation of solutions to PDEs (35B60) Second-order parabolic equations (35K10)

Related Items (1)

Existence of an equilibrium with limited participation

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