Integral representation of martingales motivated by the problem of endogenous completeness in financial economics

DOI10.1016/j.spa.2013.06.017zbMath1301.60058arXiv1110.3248OpenAlexW2081640675MaRDI QIDQ2434474

Dmitry Kramkov, Silviu Predoiu

Publication date: 6 February 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1110.3248

zbMATH Keywords

diffusionmartingalesintegral representationequilibriumanalytic semigroupsparabolic equationsreal analytic functionsdynamic completenessKrylov-Itō formula

Mathematics Subject Classification ID

Abstract parabolic equations (35K90) Martingales with continuous parameter (60G44) Initial value problems for second-order parabolic equations (35K15) Dynamic stochastic general equilibrium theory (91B51)

Related Items

Existence of financial equilibria in continuous time with potentially complete markets ⋮ Complete and incomplete financial markets in multi-good economies ⋮ Existence of an equilibrium with limited participation ⋮ The Role of (Quasi) Analyticity in Establishing Completeness of Financial Markets Equilibria ⋮ Duesenberry Equilibrium and Heterogenous Agents ⋮ Existence of an endogenously complete equilibrium driven by a diffusion ⋮ Market completion with derivative securities ⋮ The completeness and incompleteness of financial markets in economies driven by diffusion processes ⋮ Density of the set of probability measures with the martingale representation property

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