This paper studies necessity of transversality conditions for the continuous time, reduced form model. By generalizing Benveniste and Scheinkman's (1982) quot;envelopequot; condition and Michel's (1990) version of the squeezing argument, we show a generalization of Michel's (1990, Theorem 1)...

This paper studies conditions under which the price of an asset is uniquely determined by its fundamental value (i.e., no bubbles can arise) in Lucas-type asset pricing models with unbounded utility. After discussing Gilles and LeRoy's (1992) example, we construct an example of a two-period,...

This paper studies necessity of transversality conditions for the continuous time, reduced form model. By generalizing Benveniste and Scheinkman's (1982) quot;envelopequot; condition and Michel's (1990) version of the squeezing argument, we show a generalization of Michel's (1990, Theorem 1)...

This paper studies conditions under which the price of an asset is uniquely determined by its fundamental value (i.e., no bubbles can arise) in Lucas-type asset pricing models with unbounded utility. After discussing Gilles and LeRoy's (1992) example, we construct an example of a two-period,...

This note provides a simple proof of the necessity of the transversality condition for the differentiable reduced-form model. The proof uses only an elementary perturbation argument without relying on dynamic programming. The proof makes it clear that, contrary to common belief, the necessity of...

This paper establishes (i) an extension of Michel's (1990, Theorem 1) necessity result to an abstract reduced-form model, (ii) a generalization of the results of Weitzman (1973) and Ekeland and Scheinkman (1986), and (iii) a new result that is useful particularly in the case of homogeneous...

This paper studies the global dynamics of a class of infinitely repeated two-player games in which the action space of each player is an interval, and the one-shot payoff of each player is additively separable in actions. We define an immediately reactive equilibrium (IRE) as a pure-strategy...

This paper studies the global dynamics of a class of infinitely repeated two-player games in which the action space of each player is an interval, and the one-shot payoff of each player is additively separable in their actions. We define an immediately reactive equilibrium (IRE) as a...