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q-fin.GN2012★ 10 cited
Existence of Financial Equilibria in Continuous Time with Potentially Complete Markets
Frederik Herzberg, Frank Riedel
We prove that in smooth Markovian continuous-time economies with potentially complete asset markets, Radner equilibria with endogenously complete markets exist.
math.OC2012
Generalized Kuhn-Tucker Conditions for N-Firm Stochastic Irreversible Investment under Limited Resources
Maria B. Chiarolla, Giorgio Ferrari, Frank Riedel
In this paper we study a continuous time, optimal stochastic investment problem under limited resources in a market with N firms. The investment processes are subject to a time-dep…