An incomplete equilibrium with a stochastic annuity

DOI10.1007/S00780-020-00415-6zbMath1435.91180arXiv1809.05947OpenAlexW3004233135MaRDI QIDQ2308176

Gordan Žitković, Kim Weston

Publication date: 25 March 2020

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1809.05947

zbMATH Keywords

incomplete marketsRadner equilibriumannuityBSDEunspanned incomesystems of BSDEs

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial markets (91G15)

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• Incomplete markets and volatility

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