Existence of Arrow-Radner equilibrium with endogenously complete markets under incomplete information

DOI10.1006/jeth.2000.2714zbMath0994.91039OpenAlexW2071034397MaRDI QIDQ5937318

Frank Riedel

Publication date: 28 September 2002

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jeth.2000.2714

zbMATH Keywords

Brownian motionArrow-Debreu equilibriumArrow-Radner equilibriummartingale representation property

Mathematics Subject Classification ID

General equilibrium theory (91B50) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (4)

Informational efficiency and welfare ⋮ On securitization, market completion and equilibrium risk transfer ⋮ Dynamically complete markets under Brownian motion ⋮ Incomplete information equilibria: separation theorems and other myths

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