Radner equilibrium and systems of quadratic BSDEs with discontinuous generators
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Publication:2094573
DOI10.1214/21-AAP1765zbMATH Open1498.60209arXiv2008.03500OpenAlexW3048097673MaRDI QIDQ2094573FDOQ2094573
Authors: L. Escauriaza, Daniel Schwarz, Hao Xing 
Publication date: 31 October 2022
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Abstract: Motivated by an equilibrium problem, we establish the existence of a solution for a family of Markovian backward stochastic differential equations with quadratic nonlinearity and discontinuity in . Using unique continuation and backward uniqueness, we show that the set of discontinuity has measure zero. In a continuous-time stochastic model of an endowment economy, we prove the existence of an incomplete Radner equilibrium with nondegenerate endogenous volatility.
Full work available at URL: https://arxiv.org/abs/2008.03500
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Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Continuation and prolongation of solutions to PDEs (35B60) Second-order parabolic equations (35K10) General equilibrium theory (91B50)
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