Existence of an endogenously complete equilibrium driven by a diffusion
The author considers a general equilibrium model of financial markets in which the dividend of stocks and the agents' endowments are given by semimartingales defined by Itô processes. He considers the existence of a complete Radner equilibrium in the model -- i.e. the equilibrium given in terms of stock prices processes and consumption processes that satisfy market clearing conditions. The model in the equilibrium should be complete -- all stock prices should be defined by the unique martingale measure. The author considers the equivalence of such equilibrium with Arrow-Debreu equilibrium, without financial markets. The main result states that under some relatively mild assumptions the Radner equilibrium exists. In particular, in this approach, the driving processes of dividends can be time-inhomogeneous. The proof uses the equivalence of Arrow-Debreu equilibrium and Radner equilibrium. The proof of the existence of an Arrow-Debreu equilibrium depends on previous works [the author and \textit{S. Predoiu}, Stochastic Processes Appl. 124, No. 1, 81--100 (2014; Zbl 1301.60058); ``Existence and uniqueness of Arrow-Debreu equilibria with consumptions in \(\mathbf{L}^0_+\), Preprint, \url{arXiv:1304.3284}] and on the analytic properties of the agents' utility functions.
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- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
- scientific article; zbMATH DE number 1869272 (Why is no real title available?)
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