论文标题
带有不连续发生器的二次BSDE的radner平衡和系统
Radner equilibrium and systems of quadratic BSDEs with discontinuous generators
论文作者
论文摘要
出于平衡问题的激励，我们为马尔可夫向后的随机微分方程的家族建立了解决方案，具有二次非线性和$ z $中的不连续性。使用唯一的延续和向后唯一性，我们表明一组不连续性测量了零。在end赋经济的连续时间随机模型中，我们证明存在不完整的辐射器平衡，并具有非排定性内源性波动。
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.
