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.
|Date of creation:||11 Dec 2015|
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- 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.
- 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.
- 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. Full references (including those not matched with items on IDEAS)
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