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Infinite horizon BSDEs in infinite dimensions with continuous driver and applications

✍ Scribed by Marco Fuhrman; Ying Hu


Publisher
Springer
Year
2006
Tongue
English
Weight
209 KB
Volume
6
Category
Article
ISSN
1424-3199

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Making promises in infinite-horizon econ
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We study an infinite-horizon economy with incomplete markets where default is explicitly allowed, contrary to the GE 1 model (where default is ruled out by assumption). The time and uncertainty are modeled by a countable infinite event-tree with a unique initial node at initial date, and with a cont