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On Equilibrium Prices in Continuous Time

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  • V. Filipe Martins-da-Rocha
  • Frank Riedel

Abstract

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

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File URL: http://arxiv.org/pdf/0802.3585
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Paper provided by arXiv.org in its series Papers with number 0802.3585.

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Date of creation: Feb 2008
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Handle: RePEc:arx:papers:0802.3585

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  3. Charalambos Aliprantis & Monique Florenzano & Rabee Tourky, 2005. "Linear and non-linear price decentralization," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00086101, HAL.
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  35. Aliprantis, Charalambos D. & Tourky, Rabee & Yannelis, Nicholas C., 2000. "Cone Conditions in General Equilibrium Theory," Journal of Economic Theory, Elsevier, Elsevier, vol. 92(1), pages 96-121, May.
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Citations

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Cited by:
  1. Giorgio Ferrari & Jan-Henrik Steg & Frank Riedel, 2013. "Continuous-Time Public Good Contribution under Uncertainty," Working Papers 485, Bielefeld University, Center for Mathematical Economics.
  2. Riedel, Frank & Herzberg, Frederik, 2013. "Existence of financial equilibria in continuous time with potentially complete markets," Journal of Mathematical Economics, Elsevier, vol. 49(5), pages 398-404.
  3. Patrick Beißner, 2013. "Radner equilibria under ambiguous volatility," Working Papers 493, Bielefeld University, Center for Mathematical Economics.
  4. Patrick Beißner, 2013. "Brownian equilibria under Knightian uncertainty," Working Papers 447, Bielefeld University, Center for Mathematical Economics.

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