TY  - GEN
AB  - This paper establishes, in the setting of Brownian information, a
general equilibrium existence result under a stochastic differential for-
mulation of intertemporal recursive utility. The present class of utility
functionals is generated by a backward stochastic differential equation
and incorporates preference for the local risk of the stochastic utility
process.
The setting contains models in which Knightian uncertainty is repre-
sented in the subjective and objective sense.
DA  - 2011
KW  - BSDE
KW  - GSDU
KW  - super-gradients
KW  - properness
KW  - general equilibrium
KW  - Knightian uncertainty
LA  - eng
PY  - 2011
SN  - 0931-6558
SP  - 29-
TI  - Existence of Arrow-Debreu Equilibrium with Generalized Stochastic Differential Utility
UR  - https://nbn-resolving.org/urn:nbn:de:0070-pub-29000533
Y2  - 2024-11-22T11:15:31
ER  -