Existence of Arrow-Radner equilibrium with endogenously complete markets under incomplete information (Q5937318)

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.