Defaults and infinite prices in a stochastic pure exchange model

DOI10.1016/J.AMC.2011.09.014MaRDI QIDQ440672zbMATH OpenOpenAlexFDO

Authors M. Yu. Andreyev

Publication date 19 August 2012

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2011.09.014

zbMATH Keywords

defaultincomplete marketsstochastic modelinfinite pricespure exchangereal indeterminacy

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Auctions, bargaining, bidding and selling, and other market models (91B26) Stochastic models in economics (91B70)

Recommendations

• General equilibrium with endogenous uncertainty and default
• Default and Punishment in General Equilibrium1
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Cites work

• scientific article; zbMATH DE number 3559571 (Why is no real title available?)
• scientific article; zbMATH DE number 1154011 (Why is no real title available?)
• scientific article; zbMATH DE number 1154018 (Why is no real title available?)
• A generalized economic equilibrium
• A time-embedded approach to economic equilibrium with incomplete financial markets
• Boiteux's solution to the shifting-peak problem and the equilibrium price density in continuous time
• Competitive Equilibrium Under Uncertainty
• Default and Punishment in General Equilibrium1
• Existence of an Equilibrium for a Competitive Economy
• Real indeterminacy with financial assets
• The topology of fear

Cited in

(2)

• On existence in equilibrium models with endogenous default
• Making promises in infinite-horizon economies with default and collateral

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