1-4 September 2015
Angers - France
Europe/Paris timezone

Incomplete stochastic equilibria and a system of quadratic BSDEs

4 Sep 2015, 11:50
Angers - France

Angers - France


Mr Hao Xing (London School of Economics)


We tackle a number of problems related to the existence of continuous-time stochastic Radner equilibria with incomplete markets. Various assumptions of "smallness" type-including a new notion of "closeness to Pareto optimality"-are shown to be sufficient for existence and uniqueness. Central role in our analysis is played by a fully-coupled nonlinear system of quadratic BSDEs. This is a joint work with Kostas Kardaras and Gordan Zitkovic.

Primary author

Mr Hao Xing (London School of Economics)


Prof. Gordan Zitkovic (University of Texas at Austin) Prof. Kostas Kardaras (London School of Economics)

Presentation Materials