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Equilibria in financial markets with heterogeneous agents: a probabilistic perspective

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  • Follmer, Hans
  • Horst, Ulrich
  • Kirman, Alan

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  • Follmer, Hans & Horst, Ulrich & Kirman, Alan, 2005. "Equilibria in financial markets with heterogeneous agents: a probabilistic perspective," Journal of Mathematical Economics, Elsevier, vol. 41(1-2), pages 123-155, February.
    • Handle: RePEc:eee:mateco:v:41:y:2005:i:1-2:p:123-155
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    8. Woodford, Michael, 1990. "Learning to Believe in Sunspots," Econometrica, Econometric Society, vol. 58(2), pages 277-307, March.
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    20. Horst, Ulrich, 2000. "The stochastic equation P(t+1)=A(t)P(t)+B(t) with non-stationary coefficients," SFB 373 Discussion Papers 2000,5, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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    23. Mr. Lorenzo Giorgianni & Mr. Leonardo Bartolini, 1999. "Excess Volatility and the Asset-Pricing Exchange Rate Model with Unobservable Fundamentals," IMF Working Papers 1999/071, International Monetary Fund.
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    28. Hans Föllmer & Martin Schweizer, 1993. "A Microeconomic Approach to Diffusion Models For Stock Prices," Mathematical Finance, Wiley Blackwell, vol. 3(1), pages 1-23, January.
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