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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Abstract / Bemerkung
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.
Stichworte
BSDE;
GSDU;
super-gradients;
properness;
general equilibrium;
Knightian uncertainty
Erscheinungsjahr
2011
Serientitel
Working Papers. Institute of Mathematical Economics.
Band
447
Seite(n)
29
ISSN
0931-6558
Page URI
https://pub.uni-bielefeld.de/record/2900053
Zitieren
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, Patrick. 2011. Existence of Arrow-Debreu Equilibrium with Generalized Stochastic Differential Utility. Vol. 447. Working Papers. Institute of Mathematical Economics. 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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