| This paper mainly conducted research on the equilibrium existence under different beliefs in both complete market and incomplete market.The incompleteness is driven by Poisson Process.Firstly we focus on single agent in the market,work on its exponential utility maximization and corresponding trading strategies with martingale property.Based on our optimal trading strategies and equilibrium condition,as well as the relationship between stochastic differential equation and PDE,we reach our final equilibrium existence condition. |
