Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/81095
Authors: 
Beißner, Patrick
Year of Publication: 
2011
Series/Report no.: 
Working Papers, Institute of Mathematical Economics 447
Abstract: 
This paper establishes, in the setting of Brownian information, a general equilibrium existence result under a stochastic differential formulation 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.
Subjects: 
BSDE
GSDU
super-gradients
properness
general equilibrium
Knightian uncertainty
Document Type: 
Working Paper

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