Existence of an endogenously complete equilibrium driven by a diffusion

<Para ID="Par1">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. Copyright Springer-Verlag Berlin Heidelberg 2015

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Year of publication:	2015
Authors:	Kramkov, Dmitry
Published in:	Finance and Stochastics. - Springer. - Vol. 19.2015, 1, p. 1-22
Publisher:	Springer
Subject:	Endogenous completeness \| Dynamic equilibrium \| Martingale representation \| Real-analytic functions

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011151671