EXISTENCE OF AN EQUILIBRIUM WITH DISCONTINUOUS PRICES, ASYMMETRIC INFORMATION, AND NONTRIVIAL INITIAL σ‐FIELDS
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Publication:5464337
DOI10.1111/j.0960-1627.2005.00212.xzbMath1109.91026MaRDI QIDQ5464337
Publication date: 17 August 2005
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.0960-1627.2005.00212.x
utility maximization; martingale representation; initial enlargement of filtrations; Arrow-Debreu and Arrow-Radner equilibrium
91B26: Auctions, bargaining, bidding and selling, and other market models
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