Abstract
We study existence and uniqueness of continuous-time stochastic Radner equilibria in an incomplete markets model. An assumption of “smallness” type— imposed through the new notion of “closeness to Pareto optimality”—is shown to be sufficient for existence and uniqueness. Central role in our analysis is played by a fully-coupled nonlinear system of quadratic BSDEs.
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21 June 2022
The original version of the book was inadvertently published with incorrect abstracts in the chapters. This has now been amended.
In addition to this, the affiliation of author Dr. Bertram Tschiderer has been changed to Faculty of Mathematics, University of Vienna in the online version of Chapter 10.
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Kardaras, C., **ng, H., Žitković , G. (2022). Incomplete Stochastic Equilibria with Exponential Utilities Close to Pareto Optimality. In: Yin, G., Zariphopoulou, T. (eds) Stochastic Analysis, Filtering, and Stochastic Optimization. Springer, Cham. https://doi.org/10.1007/978-3-030-98519-6_11
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DOI: https://doi.org/10.1007/978-3-030-98519-6_11
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Publisher Name: Springer, Cham
Print ISBN: 978-3-030-98518-9
Online ISBN: 978-3-030-98519-6
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