On equilibrium prices in continuous time

DOI10.1016/J.JET.2010.01.001zbMATH Open1245.91033arXiv0802.3585OpenAlexW2160951015MaRDI QIDQ972875FDOQ972875

Frank Riedel, V. Filipe Martins-da-Rocha

Publication date: 21 May 2010

Published in: Journal of Economic Theory (Search for Journal in Brave)

Abstract: We combine general equilibrium theory and theorie generale of stochastic processes to derive structural results about equilibrium state prices.

Full work available at URL: https://arxiv.org/abs/0802.3585

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zbMATH Keywords

general equilibriumasset pricinggeneral theory of stochastic processescontinuous-time financestate prices

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80)

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Cited In (9)

• Existence of financial equilibria in continuous time with potentially complete markets
• Sticky Continuous Processes have Consistent Price Systems
• Equilibrium prices and trade under ambiguous volatility
• On Equilibrium Pricing as Convex Optimization
• A continuity property for local price adjustment mechanisms
• AN ECONOMIC PREMIUM PRINCIPLE IN A CONTINUOUS-TIME ECONOMY(Special Issue on Theory, Methodology and Applications in Financial Engneering)
• On the existence of price equilibria in dynamic economies
• Equilibrium Pricing Under Relative Performance Concerns
• Continuity of the equilibrium price density and its uses in peak-load pricing

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