タイトル(掲載誌)CRR Working Paper, Series B
一般注記type:Technical Report
Jump-diffusion security market models with infinite dimensional martingalegenerator have been intensively studied in Finance and Financial Economics.Recently, the author’s companion paper (Kusuda [35]) has shown that a generalizedsecurity market equilibrium in an “approximately complete security market” (Bj¨orket al. [9]) economy with infinite dimensional martingale generator can be identifiedwith an Arrow-Debreu equilibrium in the corresponding Arrow-Debreu economy.This paper presents (1) a sufficient condition for the existence of the Arrow-Debreuequilibria in the case of stochastic differential utilities, and (2) sufficient conditionsfor the existence, uniqueness, and local uniqueness of Arrow-Debreu equilibria inthe case of time additive utilities, in the Arrow-Debreu economy.
identifier:CRR Working Paper, Series B, No. B-2, pp. 1-19
一次資料へのリンクURLhttps://shiga-u.repo.nii.ac.jp/?action=repository_action_common_download&item_id=9959&item_no=1&attribute_id=19&file_no=1
連携機関・データベース国立情報学研究所 : 学術機関リポジトリデータベース(IRDB)(機関リポジトリ)