This paper studies the equilibria of a stochastic OLG exchange economies consisting of identical agents living for two periods, and having the opportunity to trade a single infinitely-lived asset in constant supply. The agents have uncertain endowments and the stochastic process determining the...

A simple proof of Reny and Wooders' recent strengthening of Shapley's extension of the Knaster-Kuratowski-Mazurkiewicz lemma on a closed cover of a simplex is given. The proof uses Ky Fan's coincidence theorem.

It is shown that core-Walras equivalence fails whenever the commodity space is a non-separable Banach space. The interpretation is that a large number of agents guarantees core-Walras equivalence only if there is actually a large number of agents relative to the size of the commodity space....

This note extends the example of Gale (1963) by considering the continuous time tatonnement process for a class of two agent, two commodity exchange economies, parametrized by a number µ∈(0,1). We demonstrate that as the parameter passes a threshold value µ* the unique, globally stable...

We prove the existence and efficiency of equilibrium in economies with infinitely many consumers in which there are finitely many agents who own a positive portion of the aggregate endowment. We prove existence for commodity spaces which are employed in the general equilibrium asset pricing...

In a multiperiod economy with incomplete markets and assets with payoff depending on the price history (e.g., asset and derivatives), we show that in order to get endowment generic existence of an equilibrium it is not needed to alter settlement features such as when payments are made and when...

Purification results are important in game theory and statistical decision theory. We prove a new purification theorem that generalizes several earlier results. The key idea of our proof is to make use of the exact law of large numbers. As an application, we show that every mixed strategy in...

We revisit a standard model of security prices as Ito processes, and provide some new economic insights about the role of arbitrage and credit limits within such a model. We show that the standard assumptions of a positive state prices and existence of an equivalent martingale measure exclude...

We study the core and competitive allocations in exchange economies with a continuum of traders and differential information. We show that if the economy is "irreducible", then a competitive equilibrium, in the sense of Radner (1968, 1982), exists. Moreover, the set of competitive equilibrium...

We study the process of learning in a differential information economy, with a continuum of states of nature that follow a Markov process. The economy extends over an infinite number of periods and we assume that the agents behave non-myopically, i.e., they discount the future. We adopt a new...