指数效用的不完全随机均衡:接近帕累托最优

ERN: Incomplete Markets (Topic) Pub Date : 2015-05-28 DOI:10.2139/ssrn.2611557

C. Kardaras, Hao Xing, Gordan Zitkovic

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引用次数: 44

摘要

研究了不完全市场模型下连续时间随机Radner均衡的存在唯一性。“小”型假设——通过“接近帕累托最优性”的新概念施加——证明了存在性和唯一性的充分条件。在我们的分析中起中心作用的是一个完全耦合的非线性二次型微分方程系统。

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Incomplete Stochastic Equilibria with Exponential Utilities: Close to Pareto Optimality

We study existence and uniqueness of continuous-time stochastic Radner equilibria in an incomplete markets model. An assumption of "smallness'' type - imposed through the new notion of "closeness to Pareto optimality'' - is shown to be sufficient for existence and uniqueness. Central role in our analysis is played by a fully-coupled nonlinear system of quadratic BSDEs.

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ERN: Incomplete Markets (Topic)

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