General Equilibrium Analysis in Security Markets with Infinite Dimensional Martingale Generator

Material type: 文書・図像類

Author: Kusuda, Koji

Publisher: Center for Risk Research (CRR), Shiga University

Publication date: 2004-10

Material Format: Digital

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Note (General)：: type:Technical ReportJump-diffusion security market models with infinite dimensional martingalegenerator have been intensively studied in Finance and ...

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Material Type: 文書・図像類
Title: General Equilibrium Analysis in Security Markets with Infinite Dimensional Martingale Generator
Author/Editor: Kusuda, Koji
Author Heading: Kusuda, Koji
Publication, Distribution, etc.: Center for Risk Research (CRR), Shiga University
Publication Date: 2004-10
Publication Date (W3CDTF): 2004-10
Periodical title: CRR Working Paper, Series B
No. or year of volume/issue: B-2
Volume: B-2
Pages: 1-19
Text Language Code: eng
Subject Heading: Approximately complete markets
Approximate security market equilibrium
Arrow-Debreu equilibrium
General equilibrium analysis
Infinite dimensional martingale generator
Jump-diffusion
Stochastic differential utility
Target Audience: 一般
Note (General): 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
Source: https://shiga-u.repo.nii.ac.jp/?action=repository_action_common_download&item_id=9959&item_no=1&attribute_id=19&file_no=1
https://shiga-u.repo.nii.ac.jp/?action=repository_action_common_download&item_id=9959&item_no=1&attribute_id=19&file_no=1
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Original Data Provider (Database): 滋賀大学 : 滋賀大学学術情報リポジトリ