On Equilibrium Prices in Continuous Time

We combine general equilibrium theory and theorie generale of stochastic processes to derive structural results about equilibrium state prices

On equilibrium prices in continuous time

We combine general equilibrium theory and théorie générale of stochastic processes to derive structural results about equilibrium state prices.general equilibrium, continuous time finance, théorie générale of stochastic processes, asset pricing, state prices

On equilibrium prices in continuous time

Abstract We combine general equilibrium theory and théorie générale of stochastic processes to derive structural results about equilibrium state prices. JEL Classification: D51, D91, G10, G1

On equilibrium prices in continuous time

Martins-da-Rocha VF, Riedel F. On equilibrium prices in continuous time. JOURNAL OF ECONOMIC THEORY. 2010;145(3):1086-1112.State prices are the fundamental building block for dynamic asset pricing models. We provide here a general continuous-time setup that allows to derive non-trivial structural properties for state-prices from economic fundamentals. To this end, we combine general equilibrium theory and theorie generale of stochastic processes to characterize state prices that lead to continuous price systems on the consumption set. We also show that equilibria with such state prices exist. (C) 2010 Elsevier Inc. All rights reserved

On equilibrium prices in continuous time

State prices are the fundamental building block for dynamic asset pricing models. We provide here a general continuous-time setup that allows to derive non-trivial structural properties for state-prices from economic fundamentals. To this end, we combine general equilibrium theory and théorie générale of stochastic processes to characterize state prices that lead to continuous price systems on the consumption set. We also show that equilibria with such state prices exist.Continuous-time finance Asset pricing State prices General equilibrium Theorie generale of stochastic processes

On Equilibrium Prices in Continuous Time

We combine general equilibrium theory and theorie generale of stochastic processes to derive structural results about equilibrium state prices.

Existence of financial equilibria in continuous time with potentially complete markets

Riedel F, Herzberg F. Existence of financial equilibria in continuous time with potentially complete markets. Journal Of Mathematical Economics. 2013;49(5):398-404.We prove that in smooth Markovian continuous-time economies with potentially complete asset markets, Radner equilibria with endogenously complete markets exist. (C) 2013 Elsevier B.V. All rights reserved

Stochastic equilibria for economies under uncertainty with intertemporal substitution

Stochastic pure exchange economies, Intertemporal substitutability of consumption, Arrow–Debreu equilibrium, Local properness, Optional random measures, D51, D91,