Existence of an endogenously complete equilibrium driven by a diffusion
From MaRDI portal
(Redirected from Publication:486924)
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.
Recommendations
- On the Existence of an Arrow-Radner Equilibrium in the Case of Complete Markets. A Remark
- Market clearing, utility functions, and securities prices
- Financial equilibria in the semimartingale setting: complete markets with withdrawal constraints
- First steps towards an equilibrium theory for Lévy financial markets
- Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model
- Existence of stochastic equilibrium with incomplete financial markets
- Endogenous completeness of diffusion driven equilibrium markets
- Equilibrium pricing in incomplete markets under translation invariant preferences
- Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty
- An incomplete equilibrium with a stochastic annuity
Cites work
- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
- scientific article; zbMATH DE number 1869272 (Why is no real title available?)
- A general version of the fundamental theorem of asset pricing
- Addendum: On Itô’s Stochastic Integral Equations
- Calcul stochastique et problèmes de martingales
- Endogenous completeness of diffusion driven equilibrium markets
- Equilibrium in Continuous-Time Financial Markets: Endogenously Dynamically Complete Markets
- Existence and uniqueness of Arrow-Debreu equilibria with consumptions in \(\mathbf{L}^0_+\)
- Existence of financial equilibria in continuous time with potentially complete markets
- Existence, uniqueness and determinacy of Arrow-Debreu equilibria in finance models
- Financial markets in continuous time. Translated from the French by Anna Kennedy
- Integral representation of martingales motivated by the problem of endogenous completeness in financial economics
- Multidimensional diffusion processes.
- Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
- Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
- On Itô’s Stochastic Integral Equations
- Quasi-analytic solutions of linear parabolic equations
- Space-time analyticity of weak solutions to linear parabolic systems with variable coefficients
Cited in
(21)- On aggregation and representative agent equilibria
- Density of the set of probability measures with the martingale representation property
- Equilibrium in Continuous-Time Financial Markets: Endogenously Dynamically Complete Markets
- Endogenous noise trackers in a Radner equilibrium
- Financial equilibria in the semimartingale setting: complete markets with withdrawal constraints
- Dynamically complete markets under Brownian motion
- Arrow's equivalency theorem in a model with neoclassical firms
- On the existence of competitive equilibrium in frictionless and incomplete stochastic asset markets
- Existence of Arrow-Radner equilibrium with endogenously complete markets under incomplete information
- On the Existence of an Arrow-Radner Equilibrium in the Case of Complete Markets. A Remark
- Hyperfinite construction of \(G\)-expectation
- Integral representation of martingales motivated by the problem of endogenous completeness in financial economics
- A model for a large investor trading at market indifference prices. I: Single-period case
- Inada's condition implies equilibrium existence is rare
- Radner equilibrium in incomplete Lévy models
- The role of (quasi) analyticity in establishing completeness of financial markets equilibria
- Equilibrium asset pricing with transaction costs
- Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty
- Endogenous completeness of diffusion driven equilibrium markets
- Radner equilibrium and systems of quadratic BSDEs with discontinuous generators
- Existence and uniqueness of Arrow-Debreu equilibria with consumptions in \(\mathbf{L}^0_+\)
This page was built for publication: Existence of an endogenously complete equilibrium driven by a diffusion
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q486924)
