英文标题：
《Incomplete stochastic equilibria for dynamic monetary utility》
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作者：
Constantinos Kardaras, Hao Xing, Gordan \\v{Z}itkovi\\\'c
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最新提交年份：
2017
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英文摘要：
We study existence and uniqueness of continuous-time stochastic Radner equilibria in an incomplete market model among a group of agents whose preference is characterized by cash invariant time-consistent monetary utilities. An assumption of \"smallness\" type is shown to be sufficient for existence and uniqueness. In particular, this assumption encapsulates settings with small endowments, small time-horizon, or a large population of weakly heterogeneous agents. Central role in our analysis is played by a fully-coupled nonlinear system of quadratic BSDEs.
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中文摘要：
我们研究了一个不完全市场模型中一组代理人的连续时间随机拉德纳均衡的存在性和唯一性，这些代理人的偏好是以现金不变的时间一致性货币效用为特征的。证明了“斜型假设对存在性和唯一性是足够的。特别是，这种假设封装了具有小天赋、小时间范围或大量弱异构代理的设置。在我们的分析中，一个完全耦合的二次BSDE非线性系统起着核心作用。
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分类信息：

一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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