Existence of Arrow-Debreu Equilibrium with Generalized Stochastic Differential Utility

Patrick Beißner
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Patrick Beißner: Center for Mathematical Economics, Bielefeld University
Authors registered in the RePEc Author Service: Patrick Beißner

No 447, Center for Mathematical Economics Working Papers from Center for Mathematical Economics, Bielefeld University

Abstract: 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.

Keywords: BSDE; GSDU; super-gradients; properness; general equilibrium; Knightian uncertainty (search for similar items in EconPapers)
Pages: 29
Date: 2015-12-11
New Economics Papers: this item is included in nep-dge, nep-ore and nep-upt
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:bie:wpaper:447

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