Local Weak Limits for Equilibrium and Risk in Economic Networks
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PAPER / ARXIV:2609.17053
Zakaria Bensaid (LMM), Anis Matoussi (LMM), Thaleia Zariphopoulou
RESUMO
We introduce forward recursive aggregator systems in It{ô}-diffusion markets, bridging the theories of recursive utilities and of forward performance criteria. The resulting criteria are constructed forward in time and accommodate arbitrary or rolling horizons. We derive the associated HJB SPDE and sufficient conditions for consistency and admissibility. We also develop a convex duality theory based on state price densities and identify the density generated by the optimal wealth process. For homothetic aggregators, we characterize a class of forward Epstein--Zin recursive utility processes, derive the optimal investment and consumption policies, and obtain explicit solutions in the Black and Scholes and Heston models.
NO MESMO MAPA
Resumo indisponível. Consulte o paper original.
Resumo indisponível. Consulte o paper original.
Resumo indisponível. Consulte o paper original.