Existence of an endogenously complete equilibrium driven by a diffusion

Dmitry Kramkov

Papers from arXiv.org

Abstract: The existence of complete Radner equilibria is established in an economy which 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 time-inhomogeneous case.

Date: 2013-04, Revised 2014-10
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Published in Finance and Stochastics January 2015, Volume 19, Issue 1, pp 1-22

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1304.3516

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