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

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Author Info
Gordan Zitkovic
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.

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File URL: http://arxiv.org/abs/0706.0462
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Paper provided by arXiv.org in its series Quantitative Finance Papers with number 0706.0462.

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Date of creation: Jun 2007
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Publication status: Published in Gordan Zitkovic, "Financial equilibria in the semimartingale setting: complete markets and markets with withdrawal constraints" (2006) Finance and Stochastics vol.10 pp. 99-119
Handle: RePEc:arx:papers:0706.0462

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  1. Bewley, Truman F., 1972. "Existence of equilibria in economies with infinitely many commodities," Journal of Economic Theory, Elsevier, vol. 4(3), pages 514-540, June. [Downloadable!] (restricted)
  2. Duffie, J Darrell & Huang, Chi-fu, 1985. "Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities," Econometrica, Econometric Society, vol. 53(6), pages 1337-56, November. [Downloadable!] (restricted)
  3. Dana, Rose Anne, 1993. "Existence and Uniqueness of Equilibria When Preferences Are Additively Separable," Econometrica, Econometric Society, vol. 61(4), pages 953-57, July. [Downloadable!] (restricted)
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