Existence of Financial Equilibria in Continuous Time with Potentially Complete Markets
AbstractWe prove that in smooth Markovian continuous-time economies with potentially complete asset markets, Radner equilibria with endogenously complete markets exist.
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Bibliographic InfoPaper provided by Bielefeld University, Center for Mathematical Economics in its series Working Papers with number 443.
Length: 18 pages
Date of creation: Jan 2013
Date of revision:
Potentially complete market; Continuous-time financial market; Radner equilibrium; Itô diffusion; Analytic transition density;
Other versions of this item:
- 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.
- Frederik Herzberg & Frank Riedel, 2012. "Existence of Financial Equilibria in Continuous Time with Potentially Complete Markets," Papers 1207.2010, arXiv.org.
- 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-12-23 (All new papers)
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