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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