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dc.contributor.authorKusuda, Kojien_US
dc.description.abstractThere is a strong evidence that most of financial variables are better described by a combination of difusion and jump processes. Considering such evidence, researchers have studied security market models with jumps, in particular, in the context of option pricing. In most of their models, jump magnitude is specified as a continuously distributed random variable at each jump time. Then, the dimensionality of martingale generator, which can be interpreted as the \number of sources of uncertainty" in markets is infinite, and no finite set of securities can complete markets. In security market economy with infinite dimensional martingale generator, no equilibrium analysis has been conducted thus far. We assume approximately complete markets (Björk et al. [10] [11]) in which a continuum of bonds are traded and any contingent claim can be approximately replicated with an arbitrary precision. We introduce the notion of approximate security market equilibrium in which an agent is allowed to choose a consumption plan approximately supported with any prescribed precision. We prove that an approximate security market equilibrium in approximately complete markets can be identified with an Arrow-Debreu equilibrium. Then, we present sufficient conditions for the existence of equilibria in the case of stochastic differential utilities with Inada condition, and for the existence, uniqueness, and determinacy of equilibria in the case of additively separable utilities.en_US
dc.relation.ispartofseriesMinnesota working papers / University of Minnesota, Center for Economic Research, Department of Economics 316en_US
dc.subject.stwVollkommener Wettbewerben_US
dc.subject.stwAllgemeines Gleichgewichten_US
dc.subject.stwjump diffusionen_US
dc.titleExistence, Uniqueness, and Determinacy of Equilibria in Complete Security Markets with Infinite Dimensional Martingale Generatoren_US
dc.typeWorking Paperen_US
Appears in Collections:Minnesota Working Papers, Department of Economics - Center for Economic Research, University of Minnesota

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