General Equilibrium Analysis in Security Markets with Infinite Dimensional Martingale Generator

• 資料種別: 文書・図像類
• タイトル: General Equilibrium Analysis in Security Markets with Infinite Dimensional Martingale Generator
• 著者・編者: Kusuda, Koji
• 著者標目: Kusuda, Koji
• 出版事項: Center for Risk Research (CRR), Shiga University
• 出版年月日等: 2004-10
• 出版年（W3CDTF）: 2004-10
• タイトル（掲載誌）: CRR Working Paper, Series B
• 巻号年月日等（掲載誌）: B-2
• 掲載巻: B-2
• 掲載ページ: 1-19
• 本文の言語コード: eng
• 件名標目: Approximately complete markets; Approximate security market equilibrium; Arrow-Debreu equilibrium; General equilibrium analysis; Infinite dimensional martingale generator; Jump-diffusion; Stochastic differential utility
• 対象利用者: 一般
• 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
• オンライン閲覧公開範囲: 限定公開
• 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）; https://irdb.nii.ac.jp
• 提供元機関・データベース: 滋賀大学 : 滋賀大学学術情報リポジトリ