Existence of an equilibrium with limited participation

DOI10.1007/s00780-024-00530-8arXiv2206.12399OpenAlexW4392238533MaRDI QIDQ6130332

Kim Weston

Publication date: 2 April 2024

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2206.12399

zbMATH Keywords

BMO-martingalelimited participationmultidimensional BSDEdiagonally quadratic generatorincomplete Radner equilibrium

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial markets (91G15)

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