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Incomplete Stochastic Equilibria with Exponential Utilities Close to Pareto Optimality

In: Stochastic Analysis, Filtering, and Stochastic Optimization

Author

Listed:
  • Constantinos Kardaras

    (Department of Statistics, London School of Economics and Political Science)

  • Hao Xing

    (Department of Finance, Questrom School of Business, Boston University)

  • Gordan Žitković

    (Department of Mathematics, University of Texas at Austin)

Abstract

We study existence and uniqueness of continuous-time stochastic Radner equilibria in an incomplete markets model. An assumption of “smallness” type— imposed through the new notion of “closeness to Pareto optimality”—is shown to be sufficient for existence and uniqueness. Central role in our analysis is played by a fully-coupled nonlinear system of quadratic BSDEs.

Suggested Citation

  • Constantinos Kardaras & Hao Xing & Gordan Žitković, 2022. "Incomplete Stochastic Equilibria with Exponential Utilities Close to Pareto Optimality," Springer Books, in: George Yin & Thaleia Zariphopoulou (ed.), Stochastic Analysis, Filtering, and Stochastic Optimization, pages 267-292, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-98519-6_11
    DOI: 10.1007/978-3-030-98519-6_11
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