Orateur
M.
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.
Auteur principal
M.
Hao Xing
(London School of Economics)
Co-auteurs
Prof.
Gordan Zitkovic
(University of Texas at Austin)
Prof.
Kostas Kardaras
(London School of Economics)