Existence of Arrow-Debreu Equilibrium with Generalized Stochastic Differential Utility
Download full text from publisher
References listed on IDEAS
- Epstein, Larry G. & Miao, Jianjun, 2003. "A two-person dynamic equilibrium under ambiguity," Journal of Economic Dynamics and Control, Elsevier, vol. 27(7), pages 1253-1288, May.
- 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.
- Martins-da-Rocha, Victor Filipe & Riedel, Frank, 2008. "On equilibrium prices in continuous time," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 672, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
- Martins-da-Rocha, Victor Filipe & Riedel, Frank, 2011. "On equilibrium prices in continuous time," Center for Mathematical Economics Working Papers 397, Center for Mathematical Economics, Bielefeld University.
- V. Filipe Martins-da-Rocha & Frank Riedel, 2008. "On Equilibrium Prices in Continuous Time," Papers 0802.3585, arXiv.org.
- Frank Riedel & Peter Bank, 2001.
"Existence and structure of stochastic equilibria with intertemporal substitution,"
Finance and Stochastics,
Springer, vol. 5(4), pages 487-509.
- Bank, Peter & Riedel, Frank, 2000. "Existence and structure of stochastic equilibria with intertemporal substitution," SFB 373 Discussion Papers 2000,104, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
More about this item
KeywordsBSDE; GSDU; super-gradients; properness; general equilibrium; Knightian uncertainty;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-04-23 (All new papers)
- NEP-DGE-2011-04-23 (Dynamic General Equilibrium)
- NEP-ORE-2011-04-23 (Operations Research)
- NEP-UPT-2011-04-23 (Utility Models & Prospect Theory)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bie:wpaper:447. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Bettina Weingarten). General contact details of provider: http://edirc.repec.org/data/imbiede.html .