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On equilibrium prices in continuous time

Author

Listed:
  • Martins-da-Rocha, Victor Filipe

    (Center for Mathematical Economics, Bielefeld University)

  • Riedel, Frank

    (Center for Mathematical Economics, Bielefeld University)

Abstract

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

Suggested Citation

  • Martins-da-Rocha, Victor Filipe & Riedel, Frank, 2011. "On equilibrium prices in continuous time," Center for Mathematical Economics Working Papers 397, Center for Mathematical Economics, Bielefeld University.
  • Handle: RePEc:bie:wpaper:397
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    File URL: https://pub.uni-bielefeld.de/download/2316111/2319849
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    References listed on IDEAS

    as
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    Citations

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    Cited by:

    1. 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.
    2. Ahmet Inci, 2011. "Capital Investment, Earnings, and Annual Stock Returns: Causality Relationships In China," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 1(2), pages 95-125, December.
    3. repec:spr:joecth:v:64:y:2017:i:2:d:10.1007_s00199-016-0979-y is not listed on IDEAS
    4. Ferrari, Giorgio & Riedel, Frank & Steg, Jan-Henrik, 2016. "Continuous-Time Public Good Contribution under Uncertainty," Center for Mathematical Economics Working Papers 485, Center for Mathematical Economics, Bielefeld University.
    5. Beißner, Patrick, 2016. "Radner Equilibria under Ambiguous Volatility," Center for Mathematical Economics Working Papers 493, Center for Mathematical Economics, Bielefeld University.
    6. Beißner, Patrick, 2015. "Existence of Arrow-Debreu Equilibrium with Generalized Stochastic Differential Utility," Center for Mathematical Economics Working Papers 447, Center for Mathematical Economics, Bielefeld University.
    7. Giorgio Ferrari & Frank Riedel & Jan-Henrik Steg, 2013. "Continuous-Time Public Good Contribution under Uncertainty: A Stochastic Control Approach," Papers 1307.2849, arXiv.org, revised Oct 2015.

    More about this item

    Keywords

    Continuous-time finance; General equilibrium; Théorie générale of stochastic processes; Asset pricing; State prices;

    JEL classification:

    • D51 - Microeconomics - - General Equilibrium and Disequilibrium - - - Exchange and Production Economies
    • D91 - Microeconomics - - Micro-Based Behavioral Economics - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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