We study existence and uniqueness of continuous-time stochastic Radner equilibria in an incomplete markets model . An assumption of "smallness" type - imposed through the new notion of "closeness to Pareto optimality" - is shown to be sufficient for existence and uniqueness  . Central role in our analysis is played by a fully-coupled nonlinear system of quadratic BSDEs.
We study existence and uniqueness of continuous-time stochastic Radner equilibria in an incomplete market model among a group of agents whose preference is characterized by cash invariant time-consistent monetary utilities . An assumption of "smallness" type is shown to be sufficient for existence and uniqueness . In particular, this assumption encapsulates settings with small endowments, small time-horizon, or a large population of weakly heterogeneous agents . Central role in our analysis is played by a fully-coupled nonlinear system of quadratic BSDEs.
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markets model
market model among a group of agents whose preference is characterized by cash invariant time-consistent monetary utilities
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- imposed through the new notion of "closeness to Pareto optimality" -
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. In particular, this assumption encapsulates settings with small endowments, small time-horizon, or a large population of weakly heterogeneous agents