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Endogenous completeness of diffusion driven equilibrium markets

Citations

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Cited by:

  1. Riedel, Frank & Herzberg, Frederik, 2013. "Existence of financial equilibria in continuous time with potentially complete markets," Journal of Mathematical Economics, Elsevier, vol. 49(5), pages 398-404.
  2. Daniel C. Schwarz, 2017. "Market completion with derivative securities," Finance and Stochastics, Springer, vol. 21(1), pages 263-284, January.
  3. Dmitry Kramkov & Sergio Pulido, 2019. "Density of the set of probability measures with the martingale representation property," Post-Print hal-01598651, HAL.
  4. Semyon Malamud & Andreas Schrimpf, 2021. "Persuasion by Dimension Reduction," Swiss Finance Institute Research Paper Series 21-69, Swiss Finance Institute.
  5. Luis Escauriaza & Daniel C. Schwarz & Hao Xing, 2020. "Radner equilibrium and systems of quadratic BSDEs with discontinuous generators," Papers 2008.03500, arXiv.org, revised May 2021.
  6. Hugonnier, Julien, 2012. "Rational asset pricing bubbles and portfolio constraints," Journal of Economic Theory, Elsevier, vol. 147(6), pages 2260-2302.
  7. Kasper Larsen & Tanawit Sae Sue, 2015. "Radner equilibrium in incomplete Levy models," Papers 1507.02974, arXiv.org, revised Jul 2015.
  8. Jarrow, Robert & Larsson, Martin, 2018. "On aggregation and representative agent equilibria," Journal of Mathematical Economics, Elsevier, vol. 74(C), pages 119-127.
  9. Patrick Beissner & Frank Riedel, 2018. "Non-implementability of Arrow–Debreu equilibria by continuous trading under volatility uncertainty," Finance and Stochastics, Springer, vol. 22(3), pages 603-620, July.
  10. Malamud, Semyon & Cieslak, Anna & Schrimpf, Paul, 2021. "Optimal Transport of Information," CEPR Discussion Papers 15859, C.E.P.R. Discussion Papers.
  11. Martin Larsson, 2013. "Non-Equivalent Beliefs and Subjective Equilibrium Bubbles," Papers 1306.5082, arXiv.org.
  12. Theodoros M. Diasakos, 2011. "A Simple Characterization of Dynamic Completeness in Continuous Time," Carlo Alberto Notebooks 211, Collegio Carlo Alberto.
  13. Jerome Detemple & Scott Robertson, 2022. "Dynamic Equilibrium with Insider Information and General Uninformed Agent Utility," Papers 2211.15573, arXiv.org, revised Mar 2024.
  14. Roman Muraviev, 2013. "Market selection with learning and catching up with the Joneses," Finance and Stochastics, Springer, vol. 17(2), pages 273-304, April.
  15. Fadina, Tolulope & Herzberg, Frederik, 2015. "Hyperfinite construction of G-expectation," Center for Mathematical Economics Working Papers 540, Center for Mathematical Economics, Bielefeld University.
  16. Pierre Lavigne & Peter Tankov, 2023. "Decarbonization of financial markets: a mean-field game approach," Papers 2301.09163, arXiv.org.
  17. Dmitry Kramkov & Silviu Predoiu, 2011. "Integral representation of martingales motivated by the problem of endogenous completeness in financial economics," Papers 1110.3248, arXiv.org, revised Oct 2012.
  18. Puru Gupta & Saul D. Jacka, 2023. "Portfolio Choice In Dynamic Thin Markets: Merton Meets Cournot," Papers 2309.16047, arXiv.org.
  19. Daniel C. Schwarz, 2015. "Market Completion with Derivative Securities," Papers 1506.00188, arXiv.org.
  20. Patrick Beissner & Frank Riedel, 2014. "Non-Implementability of Arrow-Debreu Equilibria by Continuous Trading under Knightian Uncertainty," Papers 1409.6940, arXiv.org.
  21. Theodoros M. Diasakos, 2011. "A Simple Characterization of Dynamic Completeness in Continuous Time," Carlo Alberto Notebooks 211, Collegio Carlo Alberto.
  22. Kramkov, Dmitry & Predoiu, Silviu, 2014. "Integral representation of martingales motivated by the problem of endogenous completeness in financial economics," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 81-100.
  23. Dmitry Kramkov, 2013. "Existence of an endogenously complete equilibrium driven by a diffusion," Papers 1304.3516, arXiv.org, revised Oct 2014.
  24. Dmitry Kramkov, 2015. "Existence of an endogenously complete equilibrium driven by a diffusion," Finance and Stochastics, Springer, vol. 19(1), pages 1-22, January.
  25. Kim Weston, 2022. "Existence of an equilibrium with limited participation," Papers 2206.12399, arXiv.org.
  26. Peter Bank & Dmitry Kramkov, 2015. "A model for a large investor trading at market indifference prices. I: Single-period case," Finance and Stochastics, Springer, vol. 19(2), pages 449-472, April.
  27. Dmitry Kramkov & Sergio Pulido, 2017. "Density of the set of probability measures with the martingale representation property," Working Papers hal-01598651, HAL.
  28. Alziary Chassat, Bénédicte & Takac, Peter, 2017. "On the Heston Model with Stochastic Volatility: Analytic Solutions and Complete Markets," TSE Working Papers 17-796, Toulouse School of Economics (TSE).
  29. Hansen, Simon Lysbjerg, 2015. "Cross-sectional asset pricing with heterogeneous preferences and beliefs," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 125-151.
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