论文标题
部分随机平衡模型及其限制行为
A partial stochastic equilibrium model and its limiting behaviour
论文作者
论文摘要
在完整的，有限的代理市场设置中，证明了（部分）市场均衡价格的存在。经济代理商在完全竞争的环境中充当了价格收入，并最大程度地利用了终极财富的指数效用。随着经济代理商的数量$ n $变为Infinity，$ n $方程的BSDE系统表征了均衡资产价格动力学的脱离。由于系统的对称性，有条件地对公共噪声的平均场的影响成为确定性。
The existence of a (partial) market equilibrium price is proved in a complete, continuous time finite-agent market setting. The economic agents act as price takers in a fully competitive setting and maximize exponential utility from terminal wealth. As the number $N$ of economic agents goes to infinity, the BSDE system of $N$ equations characterizing the equilibrium asset price dynamics decouples. Due to the system's symmetry, the influence of the mean field of the agents, conditionally on the common noise, becomes deterministic.
