Financial equilibria in the semimartingale setting: complete markets with withdrawal constraints (Q2488508): Difference between revisions

The paper establishes the existence of financial equilibria under general assumptions on the primitives (utilities, endowments, filtration). The prices are expressed in real terms, i.e., in terms of the quantity of the consumption good and not discounted by some numeraire security. The class of utility functions is large and contains the standard (discounted) power- and log-utilities as a subclass. Due to their unboundedness in the neighbourhood of zero the utility functions do not necessarily give rise to Mackey-continuous utility functionals. A simple constraint is introduced into the author's model by limiting the amount agents which can withdraw from the trading account in order to finance the consumption plan. Due to this constraint, the existence of an equilibrium cannot be established through the use of an utility function of a representative agent. The principal feature of the model is the presence of jumps in the endowment density processes which warrants the use and development of tools from the general theory of stochastic processes. The semimartingale property and sufficient integrability for the abstractly constructed candidate equilibrium are needed. As an integral part of the proof of the main result a novel characterization of semimartingale functions is established.