Existence of Arrow-Radner equilibrium with endogenously complete markets under incomplete information (Q5937318)
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scientific article; zbMATH DE number 1618886
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English | Existence of Arrow-Radner equilibrium with endogenously complete markets under incomplete information |
scientific article; zbMATH DE number 1618886 |
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Existence of Arrow-Radner equilibrium with endogenously complete markets under incomplete information (English)
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28 September 2002
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This paper, a revised version of a part of the author's Dissertation thesis at Humboldt University, studies a stochastic pure exchange economy where one risky asset and a locally riskless bond are traded. Risks are described by \(k\)-dimensional Brownian motions (\(k\geq 2\)), not directly observable. It is proved the existence of Arrow-Debreu and Arrow-Radner equilibria for the economy, and the martingale representation property for the innovation process is derived.
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Arrow-Radner equilibrium
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Arrow-Debreu equilibrium
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martingale representation property
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Brownian motion
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