Existence of an endogenously complete equilibrium driven by a diffusion

Dmitry Kramkov ()

Finance and Stochastics, 2015, vol. 19, issue 1, 22 pages

Abstract: The existence of complete Radner equilibria is established in an economy whose parameters are driven by a diffusion process. Our results complement those in the literature. In particular, we work under essentially minimal regularity conditions and treat the time-inhomogeneous case. Copyright Springer-Verlag Berlin Heidelberg 2015

Keywords: Endogenous completeness; Dynamic equilibrium; Martingale representation; Real-analytic functions; 91B50; 91B51; 60G44; 26E05; D52; D53; G12 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (17)

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DOI: 10.1007/s00780-014-0250-y

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