Speaker: Gordan Zitkovic, UT Austin
ABSTRACT
Unlike their well-understood complete-market counterparts, incomplete-market equilibria in continuous time have been resisting analysis since as early as 1980s. Basic questions of existence and uniqueness, let alone stability, are still widely open even in the simplest of cases. After a review of the economics behind the general-equilibrium model, as well as some of its history, some recent results - in particular the connections with systems of BSDEs and/or quasilinear PDEs - will be presented. (Based on joint work with C. Kardaras and H. Xing).