Existence of Arrow-Debreu Equilibrium with Generalized Stochastic Differential Utility

Beißner P. Existence of Arrow-Debreu Equilibrium with Generalized Stochastic Differential Utility. Working Papers. Institute of Mathematical Economics. Vol 447. Bielefeld: Center for Mathematical Economics; 2011.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