Escauriaza, L;
Schwarz, DC;
Xing, H;
(2022)
Radner equilibrium and systems of quadratic BSDEs with discontinuous generators.
Annals of Applied Probability
, 32
(5)
pp. 3492-3536.
10.1214/21-AAP1765.
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Abstract
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.
| Type: | Article |
|---|---|
| Title: | Radner equilibrium and systems of quadratic BSDEs with discontinuous generators |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.1214/21-AAP1765 |
| Publisher version: | http://doi.org/10.1214/21-AAP1765 |
| Language: | English |
| Additional information: | This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions. |
| Keywords: | Backward stochastic differential equations , backward uniqueness , discontinuous generator , general equilibrium , quadratic nonlinearities , systems of BSDEs , unique continuation |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences > Dept of Mathematics |
| URI: | https://discovery-pp.ucl.ac.uk/id/eprint/10162836 |
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