Browsing by Author "Mainberger, Christoph"

Now showing items 1-3 of 3

2011-11-16Buch

Continuous Equilibrium under Base Preferences and Attainable Initial Endowments

Horst, Ulrich; Kupper, Michael; Macrina, Andrea; Mainberger, Christoph

We consider a full equilibrium model in continuous time comprising a finite number of agents and tradable securities.We show that, if the agents’ endowments are spanned by the securities and if the agents have entropic ...
2014-02-24Dissertation

Essays on supersolutions of BSDEs and equilibrium pricing in generalized capital asset pricing models

Mainberger, Christoph

In dieser Arbeit untersuchen wir Superlösungen stochastischer Rückwärtsdifferentialgleichungen (BSDEs) und ein Gleichgewichtsmodell angewandt auf zwei spezifische verallgemeinerte Capital Asset Pricing Models (CAPMs). ...
2011-10-19Buch

Minimal Supersolutions of BSDEs with Lower Semicontinuous Generators

Heyne, Gregor; Kupper, Michael; Mainberger, Christoph

We study the existence and uniqueness of minimal supersolutions of backward stochastic differential equations with generators that are jointly lower semicontinuous, bounded below by an affine function of the control variable ...