Existence of an endogenously complete equilibrium driven by a diffusion

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.

minor changes to make it identical to the version accepted by Finance and Stochastics

References in corpus (3)

• Integral representation of martingales motivated by the problem of endogenous completeness in financial economics
• Existence of Financial Equilibria in Continuous Time with Potentially Complete Markets
• Existence and uniqueness of Arrow-Debreu equilibria with consumptions in ${\mathbf{L}}_{+}^0$

Cited by in corpus (7)

• A model for a large investor trading at market indifference prices. I: single-period case
• Integral representation of martingales motivated by the problem of endogenous completeness in financial economics
• Density of the set of probability measures with the martingale representation property
• On the Heston Model with Stochastic Volatility: Analytic Solutions and Complete Markets
• Existence and uniqueness of Arrow-Debreu equilibria with consumptions in ${\mathbf{L}}_{+}^0$
• Non-Equivalent Beliefs and Subjective Equilibrium Bubbles
• Hyperfinite Construction of $G$-expectation