Equilibrium market under uncertainty

DOI10.13705/J.ISSN.1671-6841.2016211MaRDI QIDQ5371563zbMATH OpenFDO

Authors Yingchun Zheng, Yun-Feng Yang

Publication date 20 October 2017

Full work available at URL https://doi.org/10.13705/J.ISSN.1671-6841.2016211

zbMATH Keywords

complete financial marketconsumption processequilibrium marketjump-diffusion processwealth optimization

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

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(7)

• Stochastic multi-agent equilibria in economies with jump-diffusion uncertainty
• The equivalence of dynamic and static asset allocations under the uncertainty caused by Poisson processes
• Large market games with demand uncertainty.
• Market Uncertainty: Correlated and Sunspot Equilibria in Imperfectly Competitive Economies
• scientific article; zbMATH DE number 1784635 (Why is no real title available?)
• First steps towards an equilibrium theory for Lévy financial markets
• Equilibrium in a stochastic model with consumption, wages and investment

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