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Finance and Stochastics

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01-01-2015

Existence of an endogenously complete equilibrium driven by a diffusion

Author: Dmitry Kramkov

Published in: Finance and Stochastics | Issue 1/2015

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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.

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Title: Existence of an endogenously complete equilibrium driven by a diffusion
Author: Dmitry Kramkov
Publication date: 01-01-2015
Publisher: Springer Berlin Heidelberg
Published in: Finance and Stochastics / Issue 1/2015
Print ISSN: 0949-2984
Electronic ISSN: 1432-1122
DOI: https://doi.org/10.1007/s00780-014-0250-y

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