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On the Existence of Competitive Equilibrium in Frictionless and Incomplete Stochastic Asset Markets

Jarrow, Robert A. - 2017

Using a standard frictionless, continuous time, and continuous trading stochastic economy with heterogeneous beliefs, the purpose of this paper is to provide sufficient conditions for the existence of competitive equilibrium in an incomplete asset market. A new approach to proving existence is...

Persistent link: https://www.econbiz.de/10012970661

On the Existence of Competitive Equilibrium in Frictionless and Incomplete Stochastic Asset

Jarrow, Robert A. - 2015

Persistent link: https://www.econbiz.de/10013013396

Long-term contracting in a changing world

Pavan, Alessandro (contributor) - 2007

I study the properties of optimal long-term contracts in an environment in which the agent.s type evolves stochastically over time. The model stylizes a buyer-seller relationship but the results apply quite naturally to many contractual situations including regulation and optimal...

Persistent link: https://www.econbiz.de/10003782114

Log-linear dynamics and local potential

Okada, Daijiro; Tercieux, Olivier - 2008

We show that local potential maximizer (\cite{morris+05}) with constant weights is stochastically stable in the log-linear dynamics provided that the payoff function or the associated local potential function is supermodular. We illustrate and discuss, through a series of examples, the use of...

Persistent link: https://www.econbiz.de/10003894726

Partial differential equations in economics and finance

Basov, Suran - 2007

Partial differential equations -- Elements of the theory of the Stochastic processes -- Partial differential equation … in the consumer theory -- Partial differential equations in the producer theory -- Partial differential equations and … pricing of the financial -- Derivatives -- A theory of boundedly rational behavior -- Partial differential equations in game …