Existence of arrow-debreu equilibrium with generalized stochastic differential utility

Patrick Beißner

This paper establishes, in the setting of Brownian information, a general equilibrium existence result under a stochastic differential formulation of intertemporal recursive utility. The present class of utility functionals is generated by a backward stochastic differential equation and incorporates preference for the local risk of the stochastic utility process. The setting contains models in which Knightian uncertainty is repre- sented in the subjective and objective sense. -- BSDE ; GSDU ; super-gradients ; properness ; general equilibrium ; Knightian uncertainty

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Year of publication:	2011
Authors:	Beißner, Patrick
Publisher:	Bielefeld : Inst. of Mathematical Economics, IMW
Subject:	Allgemeines Gleichgewicht \| General equilibrium \| Nutzen \| Utility \| Analysis \| Mathematical analysis \| Stochastischer Prozess \| Stochastic process \| Risiko \| Risk \| Theorie \| Theory