RADNER EQUILIBRIUM AND SYSTEMS OF QUADRATIC BSDES WITH DISCONTINUOUS GENERATORS

被引：2

作者：

Escauriaza, Luis ^{[1
]}

Schwarz, Daniel C. ^{[2
]}

Xing, Hao ^{[3
]}

机构：

[1] Univ Basque Country, Dept Matemat, Bilbao, Spain

[2] UCL, Dept Math, London, England

[3] Boston Univ, Questrom Sch Business, Dept Finance, Boston, MA USA

来源：

ANNALS OF APPLIED PROBABILITY | 2022年 / 32卷 / 05期

关键词：

Backward stochastic differential equations; systems of BSDEs; discontinuous generator; quadratic nonlinearities; general equilibrium; backward uniqueness; unique continuation; STOCHASTIC DIFFERENTIAL-EQUATIONS; UNIQUE CONTINUATION THEOREM; BACKWARD UNIQUENESS; CONTINUOUS-TIME; CARLEMAN INEQUALITIES; PARABOLIC OPERATORS; INCOMPLETE MARKETS; SECURITIES MARKETS; EXISTENCE; LANDIS;

D O I：

10.1214/21-AAP1765

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Motivated by an equilibrium problem, we establish the existence of a solution for a family of Markovian backward stochastic differential equations with quadratic nonlinearity and discontinuity in Z. Using unique continuation and backward uniqueness, we show that the set of discontinuity has measure zero. In a continuous-time stochastic model of an endowment economy, we prove the existence of an incomplete Radner equilibrium with nondegenerate endogenous volatility.

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收藏

页码：3492 / 3536

页数：45

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