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arxiv: 0706.0462 · v1 · submitted 2007-06-04 · 💱 q-fin.PR · math.OC· math.PR

Financial equilibria in the semimartingale setting: complete markets and markets with withdrawal constraints

classification 💱 q-fin.PR math.OCmath.PR
keywords marketsequilibriasemimartingalecompleteconstraintsfinancialfunctionsgeneral
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Existence of stochastic financial equilibria giving rise to semimartingale asset prices is established under a general class of assumptions. These equilibria are expressed in real terms and span complete markets or markets with withdrawal constraints.We deal with random endowment density streams which admit jumps and general time-dependent utility functions on which only regularity conditions are imposed. As an integral part of the proof of the main result, we establish a novel characterization of semimartingale functions.

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