IDEAS home Printed from https://ideas.repec.org/a/spr/finsto/v10y2006i1p99-119.html
   My bibliography  Save this article

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

Author

Listed:
  • Gordan Žitković

    ()

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

Suggested Citation

  • Gordan Žitković, 2006. "Financial equilibria in the semimartingale setting: Complete markets and markets with withdrawal constraints," Finance and Stochastics, Springer, vol. 10(1), pages 99-119, January.
  • Handle: RePEc:spr:finsto:v:10:y:2006:i:1:p:99-119
    DOI: 10.1007/s00780-005-0175-6
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s00780-005-0175-6
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. repec:kap:annfin:v:14:y:2018:i:2:d:10.1007_s10436-017-0316-x is not listed on IDEAS
    2. Martins-da-Rocha, V. Filipe & Riedel, Frank, 2010. "On equilibrium prices in continuous time," Journal of Economic Theory, Elsevier, vol. 145(3), pages 1086-1112, May.
    3. Gordan Žitković, 2012. "An example of a stochastic equilibrium with incomplete markets," Finance and Stochastics, Springer, vol. 16(2), pages 177-206, April.
    4. Gordan Zitkovic, 2009. "An example of a stochastic equilibrium with incomplete markets," Papers 0906.0208, arXiv.org, revised Jun 2010.
    5. Constantinos Kardaras & Hao Xing & Gordan v{Z}itkovi'c, 2015. "Incomplete stochastic equilibria for dynamic monetary utility," Papers 1505.07224, arXiv.org, revised Feb 2017.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:finsto:v:10:y:2006:i:1:p:99-119. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: http://www.springer.com .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.