A partial stochastic equilibrium model and its limiting behaviour

Alessandro Prosperi

Papers from arXiv.org

Abstract: The existence of a (partial) market equilibrium price is proved in a complete, continuous time finite-agent market setting. The economic agents act as price takers in a fully competitive setting and maximize exponential utility from terminal wealth. As the number $N$ of economic agents goes to infinity, the BSDE system of $N$ equations characterizing the equilibrium asset price dynamics decouples. Due to the system's symmetry, the influence of the mean field of the agents, conditionally on the common noise, becomes deterministic.

Date: 2022-11
New Economics Papers: this item is included in nep-upt
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