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On Equilibrium Prices in Continuous Time

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  • V. Filipe Martins-da-Rocha
  • Frank Riedel

Abstract

We combine general equilibrium theory and theorie generale of stochastic processes to derive structural results about equilibrium state prices.

Suggested Citation

  • V. Filipe Martins-da-Rocha & Frank Riedel, 2008. "On Equilibrium Prices in Continuous Time," Papers 0802.3585, arXiv.org.
    • Handle: RePEc:arx:papers:0802.3585
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    Citations

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    Cited by:

    1. Riedel, Frank & Herzberg, Frederik, 2013. "Existence of financial equilibria in continuous time with potentially complete markets," Journal of Mathematical Economics, Elsevier, vol. 49(5), pages 398-404.
    2. Ahmet Inci, 2011. "Capital Investment, Earnings, and Annual Stock Returns: Causality Relationships In China," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 1(2), pages 95-125, December.
    3. Giorgio Ferrari & Frank Riedel & Jan-Henrik Steg, 2013. "Continuous-Time Public Good Contribution under Uncertainty: A Stochastic Control Approach," Papers 1307.2849, arXiv.org, revised Oct 2015.
    4. Patrick Beissner, 2017. "Equilibrium prices and trade under ambiguous volatility," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 64(2), pages 213-238, August.
    5. Beißner, Patrick, 2016. "Radner Equilibria under Ambiguous Volatility," Center for Mathematical Economics Working Papers 493, Center for Mathematical Economics, Bielefeld University.
    6. Beißner, Patrick, 2015. "Existence of Arrow-Debreu Equilibrium with Generalized Stochastic Differential Utility," Center for Mathematical Economics Working Papers 447, Center for Mathematical Economics, Bielefeld University.
    7. Puru Gupta & Saul D. Jacka, 2023. "Portfolio Choice In Dynamic Thin Markets: Merton Meets Cournot," Papers 2309.16047, arXiv.org.
    8. Ferrari, Giorgio & Riedel, Frank & Steg, Jan-Henrik, 2016. "Continuous-Time Public Good Contribution under Uncertainty," Center for Mathematical Economics Working Papers 485, Center for Mathematical Economics, Bielefeld University.

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    More about this item

    JEL classification:

    • D51 - Microeconomics - - General Equilibrium and Disequilibrium - - - Exchange and Production Economies
    • D91 - Microeconomics - - Micro-Based Behavioral Economics - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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