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On equilibrium prices in continuous time

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  • Martins-da-Rocha, Victor Filipe
  • Riedel, Frank

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, 2008. "On equilibrium prices in continuous time," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 672, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  • Handle: RePEc:fgv:epgewp:672
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    References listed on IDEAS

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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. 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.
    4. 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.
    5. repec:spr:joecth:v:64:y:2017:i:2:d:10.1007_s00199-016-0979-y is not listed on IDEAS
    6. 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.
    7. Beißner, Patrick, 2016. "Radner Equilibria under Ambiguous Volatility," Center for Mathematical Economics Working Papers 493, Center for Mathematical Economics, Bielefeld University.

    More about this item

    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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