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  • Search: subject:"Real-analytic functions"
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Dynamic equilibrium 2 Endogenous completeness 2 Martingale representation 2 Real-analytic functions 2 Allgemeines Gleichgewicht 1 Analytic semigroups 1 Diffusion 1 Dynamic completeness 1 Dynamisches Gleichgewicht 1 Equilibrium 1 Equilibrium model 1 Equilibrium theory 1 General equilibrium 1 Gleichgewichtsmodell 1 Gleichgewichtstheorie 1 Incomplete market 1 Integral representation 1 Krylov–Ito formula 1 Martingal 1 Martingale 1 Martingales 1 Parabolic equations 1 Real analytic functions 1 Stochastic process 1 Stochastischer Prozess 1 Unvollkommener Markt 1
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Article 3
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Article in journal 1 Aufsatz in Zeitschrift 1
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Undetermined 2 English 1
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Kramkov, Dmitry 3 Predoiu, Silviu 1
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Finance and Stochastics 1 Finance and stochastics 1 Stochastic Processes and their Applications 1
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RePEc 2 ECONIS (ZBW) 1
Showing 1 - 3 of 3
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Existence of an endogenously complete equilibrium driven by a diffusion
Kramkov, Dmitry - In: Finance and Stochastics 19 (2015) 1, pp. 1-22
<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...</para>
Persistent link: https://www.econbiz.de/10011151671
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Existence of an endogenously complete equilibrium driven by a diffusion
Kramkov, Dmitry - In: Finance and stochastics 19 (2015) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10011416985
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Integral representation of martingales motivated by the problem of endogenous completeness in financial economics
Kramkov, Dmitry; Predoiu, Silviu - In: Stochastic Processes and their Applications 124 (2014) 1, pp. 81-100
Let Q and P be equivalent probability measures and let ψ be a J-dimensional vector of random variables such that dQdP and ψ are defined in terms of a weak solution X to a d-dimensional stochastic differential equation. Motivated by the problem of endogenous completeness in financial economics...
Persistent link: https://www.econbiz.de/10011065054
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