论文标题
存在有限的平衡
Existence of an equilibrium with limited participation
论文作者
论文摘要
有限的参与经济模拟了一些现实现象，即某些经济代理人比其他经济市场更多地进入金融市场。我们证明了有限参与的Radner均衡的全球存在，在这种情况下，代理具有指数偏好，并从运行消费和终极财富中获得了实用性。我们的分析围绕解决方程式耦合系统的耦合系统（BSDE）的耦合系统的存在和唯一性。我们证明BSDE系统具有唯一的$ \ Mathcal {s}^\ infty \ times \ text {bmo} $ solution。我们根据BSDE解决方案定义了候选均衡，并通过验证论证证明候选者是radner平衡，参与度有限。这项工作概括了Basak和Cuoco（1998）的模型，以允许具有一般股息流的股票和具有指数偏好的代理商。我们还提供了一个明确的例子。
A limited participation economy models the real-world phenomenon that some economic agents have access to more of the financial market than others. We prove the global existence of a Radner equilibrium with limited participation, where the agents have exponential preferences and derive utility from both running consumption and terminal wealth. Our analysis centers around the existence and uniqueness of a solution to a coupled system of quadratic backward stochastic differential equations (BSDEs). We prove that the BSDE system has a unique $\mathcal{S}^\infty\times\text{bmo}$ solution. We define a candidate equilibrium in terms of the BSDE solution and prove through a verification argument that the candidate is a Radner equilibrium with limited participation. This work generalizes the model of Basak and Cuoco (1998) to allow for a stock with a general dividend stream and agents with exponential preferences. We also provide an explicit example.
