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)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Julien HUGONNIER & Semyon MALAMUD & Eugene TRUBOWITZ, .
"Endogenous completeness of diffusion driven equilibrium markets,"
Swiss Finance Institute Research Paper Series
09-41, Swiss Finance Institute.
- J. Hugonnier & S. Malamud & E. Trubowitz, 2012. "Endogenous Completeness of Diffusion Driven Equilibrium Markets," Econometrica, Econometric Society, vol. 80(3), pages 1249-1270, 05.
- Patrick Beißner, 2013. "Radner equilibria under ambiguous volatility," Working Papers 493, Bielefeld University, Center for Mathematical Economics.
- Dmitry Kramkov, 2013. "Existence of an endogenously complete equilibrium driven by a diffusion," Papers 1304.3516, arXiv.org.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dr. Frederik Herzberg).
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