An Intertemporal General Equilibrium Model of Asset Prices

DOI10.2307/1911241zbMath0576.90006OpenAlexW1976020937MaRDI QIDQ3696799

Stephen A. Ross, Jonathan E. jun. Ingersoll, John C. Cox

Publication date: 1985

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/3e3dcdc85b74c1b8c494292cef9eb9f893785718

zbMATH Keywords

martingalesasset pricingHamilton-Jacobi-Bellman equationsportfolio theoryequationsfinancial economicsstochastic differentialcapital growtheconomic interpretationsGirsanov transformationsItō's change of variables

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Economic growth models (91B62) Optimal stochastic control (93E20) Diffusion processes (60J60) Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30) General equilibrium theory (91B50) Portfolio theory (91G10)

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