Radner equilibrium in incomplete Lévy models

DOI10.1007/s11579-016-0161-0zbMath1390.91232arXiv1507.02974MaRDI QIDQ300843

F. Blanchet-Sadri, M. Dambrine

Publication date: 29 June 2016

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

Full work available at URL: https://arxiv.org/abs/1507.02974

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60G44: Martingales with continuous parameter

91G80: Financial applications of other theories

91B50: General equilibrium theory