Existence of Arrow-Debreu Equilibrium with Generalized Stochastic Differential Utility
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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- 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.
- Martins-da-Rocha, Victor Filipe & Riedel, Frank, 2008. "On equilibrium prices in continuous time," Economics Working Papers (Ensaios Economicos da EPGE) 672, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
- 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.
- Frank Riedel & Peter Bank, 2001. "Existence and structure of stochastic equilibria with intertemporal substitution," Finance and Stochastics, Springer, vol. 5(4), pages 487-509.
- 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.
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