Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/23494
Full metadata record
DC FieldValueLanguage
dc.contributor.authorKusuda, Kojien_US
dc.date.accessioned2009-01-29T16:08:55Z-
dc.date.available2009-01-29T16:08:55Z-
dc.date.issued2002en_US
dc.identifier.urihttp://hdl.handle.net/10419/23494-
dc.description.abstractThere 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. [10] [11]) 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.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseries|aMinnesota working papers / University of Minnesota, Center for Economic Research, Department of Economics |x316en_US
dc.subject.jelG10en_US
dc.subject.jelD51en_US
dc.subject.jelC62en_US
dc.subject.ddc330en_US
dc.subject.stwWertpapierhandelen_US
dc.subject.stwMartingaleen_US
dc.subject.stwVollkommener Wettbewerben_US
dc.subject.stwAllgemeines Gleichgewichten_US
dc.subject.stwGleichgewichten_US
dc.subject.stwTheorieen_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
dc.identifier.ppn375313109en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

Files in This Item:
File
Size
385.73 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.