Radner equilibrium and systems of quadratic BSDEs with discontinuous generators
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Publication:2094573
DOI10.1214/21-AAP1765zbMath1498.60209arXiv2008.03500OpenAlexW3048097673MaRDI QIDQ2094573
Hao Xing, Luis Escauriaza, Daniel C. Schwarz
Publication date: 31 October 2022
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2008.03500
general equilibriumbackward stochastic differential equationsunique continuationbackward uniquenessquadratic nonlinearitiesdiscontinuous generatorsystems of BSDEs
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) General equilibrium theory (91B50) Continuation and prolongation of solutions to PDEs (35B60) Second-order parabolic equations (35K10)
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