Existence of Arrow-Debreu Equilibrium with Generalized Stochastic Differential Utility

Patrick Beißner
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Patrick Beißner: Institute of Mathematical Economics, Bielefeld University

No 447, Working Papers from Bielefeld University, Institute of Mathematical Economics

Abstract: This paper establishes, in the setting of Brownian information, a general equilibrium existence result under a stochastic differential formulation 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 represented in the subjective and objective sense.

Keywords: BSDE; GSDU; super-gradient; properness; general equilibrium; Knightian uncertainty (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-dge, nep-ore and nep-upt
Date: 2011-04
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Persistent link: http://EconPapers.repec.org/RePEc:bie:wpaper:447

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