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|dc.description.abstract||There is a strong evidence that most of financial variables are betterdescribed 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, thedimensionality of martingale generator, which can be interpreted as the \numberof sources of uncertainty" in markets is infinite, and no finite set of securities cancomplete markets. In security market economy with infinite dimensional martingalegenerator, no equilibrium analysis has been conducted thus far. We assumeapproximately complete markets (Björk et al.  ) in which a continuum ofbonds are traded and any contingent claim can be approximately replicated withan arbitrary precision. We introduce the notion of approximate security marketequilibrium in which an agent is allowed to choose a consumption plan approximatelysupported with any prescribed precision. We prove that an approximatesecurity market equilibrium in approximately complete markets can be identifiedwith an Arrow-Debreu equilibrium. Then, we present sufficient conditions for theexistence of equilibria in the case of stochastic differential utilities with Inada condition,and for the existence, uniqueness, and determinacy of equilibria in the caseof additively separable utilities.||en_US|
|dc.relation.ispartofseries|||aMinnesota working papers / University of Minnesota, Center for Economic Research, Department of Economics |x316||en_US|
|dc.title||Existence, Uniqueness, and Determinacy of Equilibria in Complete Security Markets with Infinite Dimensional Martingale Generator||en_US|
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