Existence of an endogenously complete equilibrium driven by a diffusion

The existence of complete Radner equilibria is established in an economy whose 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 the time-inhomogeneous case.

Gespeichert in:

Bibliographische Detailangaben
Veröffentlicht in:	Finance and stochastics 2015-01, Vol.19 (1), p.1-22
1. Verfasser:	Kramkov, Dmitry
Format:	Artikel
Sprache:	eng
Schlagworte:	Arbitrage Banach spaces Consumption Dividends Economic analysis Economic equilibrium Economic theory Economic Theory/Quantitative Economics/Mathematical Methods Economics Equilibrium Finance Financial analysis Insurance Literature Management Mathematical functions Mathematics Mathematics and Statistics Probability Theory and Stochastic Processes Quantitative Finance Random variables Statistics for Business Stochastic models Stochastic processes Stocks Studies Time
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!

Beschreibung
Zusammenfassung:	The existence of complete Radner equilibria is established in an economy whose 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 the time-inhomogeneous case.
ISSN:	0949-2984 1432-1122
DOI:	10.1007/s00780-014-0250-y