Brownian equilibria under Knightian uncertainty

DOI10.1007/S11579-014-0133-1zbMATH Open1320.91104OpenAlexW3125698146MaRDI QIDQ2018550FDOQ2018550

Patrick Beissner

Publication date: 24 March 2015

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-014-0133-1

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zbMATH Keywords

Knightian uncertaintyequilibrium existencestochastic differential utilitygeneric existenceintertemporal recursive utility

Mathematics Subject Classification ID

Individual preferences (91B08) Applications of stochastic analysis (to PDEs, etc.) (60H30) General equilibrium theory (91B50) Dynamic stochastic general equilibrium theory (91B51)

Cites Work

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Cited In (2)

• A no-trade theorem under Knightian uncertainty with general preferences
• Equilibrium prices and trade under ambiguous volatility

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