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Existence of Arrow-Debreu Equilibrium with Generalized Stochastic Differential Utility

  • Beißner, Patrick

    (Center for Mathematical Economics, Bielefeld University)

This paper establishes, in the setting of Brownian information, a general equilibrium existence result under a stochastic differential for- mulation of intertemporal recursive utility. The present class of utility functionals is generated by a backward stochastic differential equation and incorporates preference for the local risk of the stochastic utility process. The setting contains models in which Knightian uncertainty is repre- sented in the subjective and objective sense.

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File URL: https://pub.uni-bielefeld.de/download/2900053/2900054
File Function: First Version, 2011
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Paper provided by Center for Mathematical Economics, Bielefeld University in its series Center for Mathematical Economics Working Papers with number 447.

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Length: 29
Date of creation: 11 Dec 2015
Date of revision:
Handle: RePEc:bie:wpaper:447
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  1. Frank Riedel & Peter Bank, 2001. "Existence and structure of stochastic equilibria with intertemporal substitution," Finance and Stochastics, Springer, vol. 5(4), pages 487-509.
  2. Martins-da-Rocha, V. Filipe & Riedel, Frank, 2010. "On equilibrium prices in continuous time," Journal of Economic Theory, Elsevier, vol. 145(3), pages 1086-1112, May.
  3. Mas-Colell, Andreu & Zame, William R., 1991. "Equilibrium theory in infinite dimensional spaces," Handbook of Mathematical Economics, in: W. Hildenbrand & H. Sonnenschein (ed.), Handbook of Mathematical Economics, edition 1, volume 4, chapter 34, pages 1835-1898 Elsevier.
  4. Larry G. Epstein & JianJun Miao, 2001. "A Two-Person Dynamic Equilibrium under Ambiguity," RCER Working Papers 478, University of Rochester - Center for Economic Research (RCER).
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