On equilibrium prices in continuous time
From MaRDI portal
Publication:972875
DOI10.1016/j.jet.2010.01.001zbMath1245.91033arXiv0802.3585OpenAlexW2160951015MaRDI QIDQ972875
Frank Riedel, V. Filipe Martins-da-Rocha
Publication date: 21 May 2010
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0802.3585
asset pricinggeneral equilibriumgeneral theory of stochastic processescontinuous-time financestate prices
Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80)
Related Items (2)
Equilibrium prices and trade under ambiguous volatility ⋮ Existence of financial equilibria in continuous time with potentially complete markets
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Stochastic equilibria for economies under uncertainty with intertemporal substitution
- Equilibrium without uniform conditions
- Equilibria in Banach lattices without ordered preferences
- Proper preferences and quasi-concave utility functions
- Edgeworth equilibria in production economies
- A new approach to production equilibria in vector lattices
- On intertemporal preferences in continuous time. The case of certainty
- Real effects of money in general equilibrium
- The limit theorem on the core of a production economy in vector lattices with unordered preferences
- Decentralizing Edgeworth equilibria in economies with many commodities
- Continuous-time security pricing. A utility gradient approach
- Edgeworth's conjecture with infinitely many commodities: commodity differentiation
- A new approach to the limit theorem on the core of an economy in vector lattices
- Non-marketed options, non-existence of equilibria, and nonlinear prices.
- Cone conditions in general equilibrium theory
- Linear and nonlinear price decentralization
- Optimal consumption choice with intertemporal substitution
- General equilibrium analysis in ordered topological vector spaces
- A stochastic representation theorem with applications to optimization and obstacle problems.
- A new approach to the existence of equilibria in vector lattices
- Financial equilibria in the semimartingale setting: complete markets with withdrawal constraints
- Equilibria in vector lattices without ordered preferences or uniform properness
- Arbitrage and state price deflators in a general intertemporal framework
- Existence and Uniqueness of Equilibria When Preferences are Additively Separable
- Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model
- Equilibrium in Continuous-Time Financial Markets: Endogenously Dynamically Complete Markets
- Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
- Stochastic Equilibria: Existence, Spanning Number, and the `No Expected Financial Gain from Trade' Hypothesis
- The Price Equilibrium Existence Problem in Topological Vector Lattices
- Edgeworth Equilibria
- Competitive Equilibria in Production Economies with an Infinite-Dimensional Commodity Space
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Intertemporal Preferences for Uncertain Consumption: A Continuous Time Approach
- [https://portal.mardi4nfdi.de/wiki/Publication:4148562 R�gularit� et continuit� des processus]
- [https://portal.mardi4nfdi.de/wiki/Publication:4165998 Sur un th�or�me de J.M. Bismut]
- Edgeworth's Conjecture with Infinitely many Commodities: L^1
- The Consumption-Based Capital Asset Pricing Model
- Optimal Consumption and Portfolio Rules with Durability and Local Substitution
- Quadratic Concavity and Determinacy of Equilibrium
- Competitive Equilibrium Under Uncertainty
- Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets
- Optimal Investment with Costly Reversibility
- Existence of an Equilibrium for a Competitive Economy
- A theory of value with nonlinear prices. Equilibrium analysis beyond vector lattices
- Existence and structure of stochastic equilibria with intertemporal substitution
This page was built for publication: On equilibrium prices in continuous time
