Existence of Arrow-Debreu Equilibrium with Generalized Stochastic Differential Utility

Beißner P (2011) Working Papers. Institute of Mathematical Economics.; 447.
Bielefeld: Center for Mathematical Economics.

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Working Paper | Published | English
Abstract
This paper establishes, in the setting of Brownian information, a general equilibrium existence result under a stochastic differential for- mulation of intertemporal recursive utility. The present class of utility functionals is generated by a backward stochastic differential equation and incorporates preference for the local risk of the stochastic utility process. The setting contains models in which Knightian uncertainty is repre- sented in the subjective and objective sense.
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Beißner P. Existence of Arrow-Debreu Equilibrium with Generalized Stochastic Differential Utility. Working Papers. Institute of Mathematical Economics. Vol 447. Bielefeld: Center for Mathematical Economics; 2011.
Beißner, P. (2011). Existence of Arrow-Debreu Equilibrium with Generalized Stochastic Differential Utility (Working Papers. Institute of Mathematical Economics., 447). Bielefeld: Center for Mathematical Economics.
Beißner, P. (2011). Existence of Arrow-Debreu Equilibrium with Generalized Stochastic Differential Utility. Working Papers. Institute of Mathematical Economics., 447, Bielefeld: Center for Mathematical Economics.
Beißner, P., 2011. Existence of Arrow-Debreu Equilibrium with Generalized Stochastic Differential Utility, Working Papers. Institute of Mathematical Economics., no.447, Bielefeld: Center for Mathematical Economics.
P. Beißner, Existence of Arrow-Debreu Equilibrium with Generalized Stochastic Differential Utility, Working Papers. Institute of Mathematical Economics., vol. 447, Bielefeld: Center for Mathematical Economics, 2011.
Beißner, P.: Existence of Arrow-Debreu Equilibrium with Generalized Stochastic Differential Utility. Working Papers. Institute of Mathematical Economics., 447. Center for Mathematical Economics, Bielefeld (2011).
Beißner, Patrick. Existence of Arrow-Debreu Equilibrium with Generalized Stochastic Differential Utility. Bielefeld: Center for Mathematical Economics, 2011. Working Papers. Institute of Mathematical Economics. 447.
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