Existence of an endogenously complete equilibrium driven by a diffusion
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Publication:486924
DOI10.1007/S00780-014-0250-YzbMATH Open1360.91106arXiv1304.3516OpenAlexW2112369151MaRDI QIDQ486924FDOQ486924
Authors: Dmitry Kramkov 
Publication date: 19 January 2015
Published in: Finance and Stochastics (Search for Journal in Brave)
Abstract: The existence of complete Radner equilibria is established in an economy which parameters are driven by a diffusion process. Our results complement those in the literature. In particular, we work under essentially minimal regularity conditions and treat time-inhomogeneous case.
Full work available at URL: https://arxiv.org/abs/1304.3516
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Cited In (21)
- On aggregation and representative agent equilibria
- Equilibrium in Continuous-Time Financial Markets: Endogenously Dynamically Complete Markets
- Endogenous noise trackers in a Radner equilibrium
- Density of the set of probability measures with the martingale representation property
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- Endogenous completeness of diffusion driven equilibrium markets
- Existence and uniqueness of Arrow-Debreu equilibria with consumptions in \(\mathbf{L}^0_+\)
- Radner equilibrium and systems of quadratic BSDEs with discontinuous generators
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