Existence of Financial Equilibria in Continuous Time with Potentially Complete Markets
19 Pages Posted: 20 Mar 2012 Last revised: 30 Jan 2013
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Existence of Financial Equilibria in Continuous Time with Potentially Complete Markets
Institute of Mathematical Economics Working Paper No. 443
Number of pages: 19
Posted: 20 Mar 2012
Last Revised: 30 Jan 2013
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Existence of Financial Equilibria in Continuous Time with Potentially Complete Markets
Journal of Mathematical Economics, Vol. 49, No. 5, 2013
Posted: 29 Jan 2014
Date Written: January 20, 2013
Abstract
We prove that in smooth Markovian continuous-time economies with potentially complete asset markets, Radner equilibria with endogenously complete markets exist.
Keywords: Potentially complete market, Continuous-time financial market, Radner equilibrium, Itô diffusion, Analytic transition density
JEL Classification: D52, D53, G12
Suggested Citation: Suggested Citation
Riedel, Frank and Herzberg, Frederik, Existence of Financial Equilibria in Continuous Time with Potentially Complete Markets (January 20, 2013). Institute of Mathematical Economics Working Paper No. 443, Available at SSRN: https://ssrn.com/abstract=2026186 or http://dx.doi.org/10.2139/ssrn.2026186
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