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Existence of an endogenously complete equilibrium driven by a diffusion

Abstract:
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.
Publication status:
Published
Peer review status:
Peer reviewed

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Publisher copy:
10.1007/s00780-014-0250-y

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Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Role:
Author
Publisher:
Springer Verlag Publisher's website
Journal:
Finance and Stochastics Journal website
Volume:
19
Issue:
1
Pages:
1-22
Publication date:
2015-01-01
Acceptance date:
2014-06-07
DOI:
EISSN:
1432-1122
ISSN:
0949-2984
Source identifiers:
396013
Language:
English
Keywords:
Pubs id:
pubs:396013
UUID:
uuid:0d08a35c-aa8d-43be-8f90-baa465213027
Local pid:
pubs:396013
Deposit date:
2017-01-20

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