英文标题：
《An incomplete equilibrium with a stochastic annuity》
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作者：
Kim Weston and Gordan Zitkovic
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最新提交年份：
2018
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英文摘要：
We prove the global existence of an incomplete, continuous-time finite-agent Radner equilibrium in which exponential agents optimize their expected utility over both running consumption and terminal wealth. The market consists of a traded annuity, and, along with unspanned income, the market is incomplete. Set in a Brownian framework, the income is driven by a multidimensional diffusion, and, in particular, includes mean-reverting dynamics. The equilibrium is characterized by a system of fully coupled quadratic backward stochastic differential equations, a solution to which is proved to exist under Markovian assumptions.
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中文摘要：
我们证明了一个不完全连续时间有限主体Radner均衡的全局存在性，在此均衡中，指数主体在运行消费和终端财富上优化其预期效用。市场由交易年金组成，加上未经计划的收入，市场是不完整的。在布朗框架下，收入由多维扩散驱动，尤其包括均值回复动力学。平衡点的特征是一个完全耦合的二次倒向随机微分方程组，在马尔可夫假设下证明了其解的存在性。
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分类信息：

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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