Existence of an endogenously complete equilibrium driven by a diffusion

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.

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Year of publication:	2013-04
Authors:	Kramkov, Dmitry
Institutions:	arXiv.org

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Extent:	application/pdf
Series:	Papers.
Type of publication:	Book / Working Paper
Notes:	Published in Finance and Stochastics January 2015, Volume 19, Issue 1, pp 1-22
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011106640