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

Incomplete stochastic equilibria and a system of quadratic BSDEs

4 Sep 2015, 11:50
30m
Angers - France

Angers - France

Speaker

Mr Hao Xing (London School of Economics)

Description

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)

Co-authors

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

Presentation Materials