An incomplete equilibrium with a stochastic annuity
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DOI: 10.1007/s00780-020-00415-6
Abstract: We prove the global existence of an incomplete, continuous-time finite-agent Radner equilibrium in which exponential agents optimise their expected utility over both running consumption and terminal wealth. The market consists of a traded annuity, and… read more here.
Keywords: annuity; equilibrium; finance; stochastic annuity ... See more keywords
A characterization of Markov equilibrium in stochastic overlapping generations models
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DOI: 10.1016/j.jedc.2020.104023
Abstract: Abstract This paper characterizes the Markov equilibrium in stochastic overlapping generations models with both pure exchange and production using the theory of linear iterated function systems. We provide conditions for the linearized Markov equilibrium to… read more here.
Keywords: generations models; equilibrium; equilibrium stochastic; overlapping generations ... See more keywords
Equilibrium stochastic delay processes
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DOI: 10.1088/1367-2630/ac4b91
Abstract: Stochastic processes with temporal delay play an important role in science and engineering whenever finite speeds of signal transmission and processing occur. However, an exact mathematical analysis of their dynamics and thermodynamics is available for… read more here.
Keywords: time; equilibrium stochastic; stochastic delay; delay processes ... See more keywords