In this work, we study an equilibrium-based continuous asset pricing problem which seeks to form a price process endogenously by requiring it to balance the flow of sales-and-purchase orders in the exchange market, where a large number of agents are interacting through the market price. Adopting...

This is an online appendix of "Sup-inf/inf-sup problem on choice of a probability measure by FBSDE approach". Particularly, we provide proofs of Propositions 1-3 and an example of FBSDEs, in which sgn(Z1); sgn(Z2) are determined by solving the FBSDEs explicitly, for Section III-B in the original...