An existence theorem for the Scheinkman-Weiss economic model

The Scheinkman-Weiss model and later works by Conze-Lasry-Scheinkman provide insights on cycles and correlations of economies with incomplete markets, namely with borrowing constraints. This work gives a mathematical solution in the case of high relative risk aversion, which has not yet been solved. The existence of an equilibrium results from the solution of a system of nonlinear functional differential equations. High risk aversion leads to new mathematical difficulties, not present in previous papers on this subject.This work is an extension of previous works done under the direction of Professor Jean-Michel Lasry, University of Paris 9, Dauphine. The author is sincerely grateful to Professor Lasry who suggested the idea of this article and whose remarks were always of help.