Existence of an endogenously complete equilibrium driven by a diffusion

TL;DR

This paper proves the existence of an endogenously complete Radner equilibrium in a diffusion-driven economy, extending previous results by relaxing regularity conditions and handling time-inhomogeneous cases.

Contribution

It establishes the existence of complete equilibria under minimal regularity assumptions and in time-inhomogeneous settings, broadening the scope of prior work.

Findings

Existence of complete Radner equilibria in diffusion-driven economies.

Results hold under minimal regularity conditions.

Addresses time-inhomogeneous cases.

Abstract

The existence of complete Radner equilibria is established in an economy which parameters are driven by a diffusion process. Our results complement those in the literature. In particular, we work under essentially minimal regularity conditions and treat time-inhomogeneous case.