Existence of an endogenously complete equilibrium driven by a diffusion

DOI10.1007/s00780-014-0250-yzbMath1360.91106arXiv1304.3516OpenAlexW2112369151MaRDI QIDQ486924

Dmitry Kramkov

Publication date: 19 January 2015

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1304.3516

zbMATH Keywords

asset pricingRadner equilibriummartingale representationdynamic stochastic equilibriumnon-stationary market models

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Group preferences (91B10) Real-analytic functions (26E05) Dynamic stochastic general equilibrium theory (91B51)

Related Items (12)

Radner equilibrium in incomplete Lévy models ⋮ Existence and uniqueness of Arrow--Debreu equilibria with consumptions in ${\bf L}^0_+$ ⋮ Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty ⋮ Hyperfinite construction of G-expectation ⋮ On the existence of competitive equilibrium in frictionless and incomplete stochastic asset markets ⋮ Integral representation of martingales motivated by the problem of endogenous completeness in financial economics ⋮ Dynamically complete markets under Brownian motion ⋮ On aggregation and representative agent equilibria ⋮ Equilibrium asset pricing with transaction costs ⋮ Density of the set of probability measures with the martingale representation property ⋮ Radner equilibrium and systems of quadratic BSDEs with discontinuous generators ⋮ A model for a large investor trading at market indifference prices. I: Single-period case

Cites Work

• Unnamed Item
• Unnamed Item
• Quasi-analytic solutions of linear parabolic equations
• Existence of financial equilibria in continuous time with potentially complete markets
• Space-time analyticity of weak solutions to linear parabolic systems with variable coefficients
• Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
• Calcul stochastique et problèmes de martingales
• Existence, uniqueness and determinacy of Arrow-Debreu equilibria in finance models
• A general version of the fundamental theorem of asset pricing
• Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
• Financial markets in continuous time. Translated from the French by Anna Kennedy
• Integral representation of martingales motivated by the problem of endogenous completeness in financial economics
• Multidimensional diffusion processes.
• Endogenous Completeness of Diffusion Driven Equilibrium Markets
• Existence and uniqueness of Arrow--Debreu equilibria with consumptions in ${\bf L}^0_+$
• Equilibrium in Continuous-Time Financial Markets: Endogenously Dynamically Complete Markets
• Addendum: On Itô’s Stochastic Integral Equations
• On Itô’s Stochastic Integral Equations

This page was built for publication: Existence of an endogenously complete equilibrium driven by a diffusion