Jump-diffusion security market models with infinite dimensional martingale
generator have been intensively studied in Finance and Financial Economics.
Recently, the author’s companion paper (Kusuda [35]) has shown that a generalized
security market equilibrium in an “approximately complete security market” (Bj¨ork
et al. [9]) economy with infinite dimensional martingale generator can be identified
with an Arrow-Debreu equilibrium in the corresponding Arrow-Debreu economy.
This paper presents (1) a sufficient condition for the existence of the Arrow-Debreu
equilibria in the case of stochastic differential utilities, and (2) sufficient conditions
for the existence, uniqueness, and local uniqueness of Arrow-Debreu equilibria in
the case of time additive utilities, in the Arrow-Debreu economy.
General Equilibrium Analysis in Security Markets with Infinite Dimensional Martingale Generator
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