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Existence of financial equilibria in continuous time with potentially complete markets

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  • Riedel, Frank
  • Herzberg, Frederik

Abstract

We prove that in smooth Markovian continuous-time economies with potentially complete asset markets, Radner equilibria with endogenously complete markets exist.

Suggested Citation

  • Riedel, Frank & Herzberg, Frederik, 2013. "Existence of financial equilibria in continuous time with potentially complete markets," Journal of Mathematical Economics, Elsevier, vol. 49(5), pages 398-404.
    • Handle: RePEc:eee:mateco:v:49:y:2013:i:5:p:398-404
    DOI: 10.1016/j.jmateco.2013.07.001
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    Citations

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    Cited by:

    1. Kasper Larsen & Tanawit Sae Sue, 2015. "Radner equilibrium in incomplete Levy models," Papers 1507.02974, arXiv.org, revised Jul 2015.
    2. Patrick Beissner & Frank Riedel, 2014. "Non-Implementability of Arrow-Debreu Equilibria by Continuous Trading under Knightian Uncertainty," Papers 1409.6940, arXiv.org.
    3. Fadina, Tolulope & Herzberg, Frederik, 2015. "Hyperfinite construction of G-expectation," Center for Mathematical Economics Working Papers 540, Center for Mathematical Economics, Bielefeld University.
    4. Ehling, Paul & Heyerdahl-Larsen, Christian, 2015. "Complete and incomplete financial markets in multi-good economies," Journal of Economic Theory, Elsevier, vol. 160(C), pages 438-462.
    5. Peter Bank & Dmitry Kramkov, 2015. "A model for a large investor trading at market indifference prices. I: Single-period case," Finance and Stochastics, Springer, vol. 19(2), pages 449-472, April.
    6. Luis Escauriaza & Daniel C. Schwarz & Hao Xing, 2020. "Radner equilibrium and systems of quadratic BSDEs with discontinuous generators," Papers 2008.03500, arXiv.org, revised May 2021.
    7. Daniel C. Schwarz, 2015. "Market Completion with Derivative Securities," Papers 1506.00188, arXiv.org.
    8. Kim Weston, 2022. "Existence of an equilibrium with limited participation," Papers 2206.12399, arXiv.org.
    9. Dmitry Kramkov, 2013. "Existence of an endogenously complete equilibrium driven by a diffusion," Papers 1304.3516, arXiv.org, revised Oct 2014.
    10. Dmitry Kramkov, 2015. "Existence of an endogenously complete equilibrium driven by a diffusion," Finance and Stochastics, Springer, vol. 19(1), pages 1-22, January.
    11. Dmitry Kramkov & Sergio Pulido, 2019. "Density of the set of probability measures with the martingale representation property," Post-Print hal-01598651, HAL.
    12. Jarrow, Robert & Larsson, Martin, 2018. "On aggregation and representative agent equilibria," Journal of Mathematical Economics, Elsevier, vol. 74(C), pages 119-127.
    13. Patrick Beissner & Frank Riedel, 2018. "Non-implementability of Arrow–Debreu equilibria by continuous trading under volatility uncertainty," Finance and Stochastics, Springer, vol. 22(3), pages 603-620, July.
    14. Dmitry Kramkov & Silviu Predoiu, 2011. "Integral representation of martingales motivated by the problem of endogenous completeness in financial economics," Papers 1110.3248, arXiv.org, revised Oct 2012.
    15. Dmitry Kramkov & Sergio Pulido, 2017. "Density of the set of probability measures with the martingale representation property," Working Papers hal-01598651, HAL.
    16. Beißner, Patrick, 2016. "Radner Equilibria under Ambiguous Volatility," Center for Mathematical Economics Working Papers 493, Center for Mathematical Economics, Bielefeld University.
    17. Daniel C. Schwarz, 2017. "Market completion with derivative securities," Finance and Stochastics, Springer, vol. 21(1), pages 263-284, January.
    18. Dmitry Kramkov & Sergio Pulido, 2017. "Density of the set of probability measures with the martingale representation property," Papers 1709.07329, arXiv.org, revised Jul 2019.
    19. Alziary Chassat, Bénédicte & Takac, Peter, 2017. "On the Heston Model with Stochastic Volatility: Analytic Solutions and Complete Markets," TSE Working Papers 17-796, Toulouse School of Economics (TSE).
    20. Pierre Lavigne & Peter Tankov, 2023. "Decarbonization of financial markets: a mean-field game approach," Papers 2301.09163, arXiv.org.

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    More about this item

    Keywords

    Potentially complete market; Continuous-time financial market; Radner equilibrium; Itô diffusion;
    All these keywords.

    JEL classification:

    • D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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