A new theory of inter-temporal equilibrium for security markets in a continuous time setting with Brownian Filtrations is developed. A simple characterization of equilibrium when agents maximize a state dependent utility functional, as proposed in Londoño [30] is given, and this approach can be...

We propose a family of models for the evolution of the price process S(t) of a financial market. We prove that this family of models is well defined in the sense that the SDEs that define each model have unique non-explosive solutions; we prove that each model from this family is free of...

We define an inter-temporal Duesemberry Equilibrium where agents are rational agents that optimize their consumption and investment decisions with respect to the relative incomes of their peers (relative income hypothesis). We characterize these markets, provide existence and uniqueness when a...

We address the problem of optimal consumption and investment for agents with mortality risk in a complete financial market. We achieve the optimization on a functional on the utility of consumption and bequest discounted by the state price process as proposed by Londono [25]. We introduce live...

We propose a new definition for tameness within the model of security prices as It\^o processes that is risk-aware. We give a new definition for arbitrage and characterize it. We then prove a theorem that can be seen as an extension of the second fundamental theorem of asset pricing, and a...

This paper introduces a family of recursively defined estimators of the parameters of a diffusion process. We use ideas of stochastic algorithms for the construction of the estimators. Asymptotic consistency of these estimators and asymptotic normality of an appropriate normalization are proved....