Financial equilibria in the semimartingale setting: complete markets and markets with withdrawal constraints

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dc.creatorZitkovic, Gordan
dc.date2007-06-04
dc.date.accessioned2026-07-07T12:05:15Z
dc.date.available2026-07-07T12:05:15Z
dc.descriptionExistence of stochastic financial equilibria giving rise to semimartingale asset prices is established under a general class of assumptions. These equilibria are expressed in real terms and span complete markets or markets with withdrawal constraints.We deal with random endowment density streams which admit jumps and general time-dependent utility functions on which only regularity conditions are imposed. As an integral part of the proof of the main result, we establish a novel characterization of semimartingale functions.
dc.identifierhttps://arxiv.org/abs/0706.0462
dc.identifierhttp://arxiv.org/abs/0706.0462
dc.identifierGordan Zitkovic, "Financial equilibria in the semimartingale setting: complete markets and markets with withdrawal constraints" (2006) Finance and Stochastics vol.10 pp. 99-119
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208326
dc.subjectPricing of Securities
dc.subjectOptimization and Control
dc.subjectProbability
dc.subject91B70, 60G07
dc.titleFinancial equilibria in the semimartingale setting: complete markets and markets with withdrawal constraints
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