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Financial equilibria in the semimartingale setting: Complete markets and markets with withdrawal constraints

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  • Gordan Žitković

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    Abstract

    Existence of stochastic financial equilibria giving rise to semimartingale asset prices is established under a general class of assumptions. These equilibria are expressed in real terms and span complete markets or markets with withdrawal constraints. We deal with random endowment density streams which admit jumps and general time-dependent utility functions on which only regularity conditions are imposed. As an integral part of the proof of the main result, we establish a novel characterization of semimartingale functions. Copyright Springer-Verlag Berlin/Heidelberg 2006

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    File URL: http://hdl.handle.net/10.1007/s00780-005-0175-6
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    Bibliographic Info

    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 10 (2006)
    Issue (Month): 1 (01)
    Pages: 99-119

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    Handle: RePEc:spr:finsto:v:10:y:2006:i:1:p:99-119

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    Related research

    Keywords: financial equilibrium; complete markets; semimartingales; semimartingale functions; withdrawal constraints;

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    Cited by:
    1. V. Filipe Martins-da-Rocha & Frank Riedel, 2008. "On equilibrium prices in continuous time," Working Papers 397, Bielefeld University, Center for Mathematical Economics.
    2. Gordan Žitković, 2012. "An example of a stochastic equilibrium with incomplete markets," Finance and Stochastics, Springer, vol. 16(2), pages 177-206, April.
    3. Gordan Zitkovic, 2009. "An example of a stochastic equilibrium with incomplete markets," Papers 0906.0208, arXiv.org, revised Jun 2010.

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