Existence of an endogenously complete equilibrium driven by a diffusion
Probability
2015-01-05 v2 General Finance
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.
Cite
@article{arxiv.1304.3516,
title = {Existence of an endogenously complete equilibrium driven by a diffusion},
author = {Dmitry Kramkov},
journal= {arXiv preprint arXiv:1304.3516},
year = {2015}
}
Comments
minor changes to make it identical to the version accepted by Finance and Stochastics