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General Equilibrium Analysis in Security Markets with Infinite Dimensional Martingale Generator
http://hdl.handle.net/10441/289
http://hdl.handle.net/10441/289b25c169f-9f31-467c-8e28-cdd2a39d6211
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
B2Kusuda200410.pdf (314.6 kB)
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| Item type | テクニカルレポート / Technical Report(1) | |||||||
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| 公開日 | 2009-03-26 | |||||||
| タイトル | ||||||||
| タイトル | General Equilibrium Analysis in Security Markets with Infinite Dimensional Martingale Generator | |||||||
| 言語 | ||||||||
| 言語 | eng | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | Approximately complete markets | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | Approximate security market equilibrium | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | Arrow-Debreu equilibrium | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | General equilibrium analysis | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | Infinite dimensional martingale generator | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | Jump-diffusion | |||||||
| キーワード | ||||||||
| 主題Scheme | Other | |||||||
| 主題 | Stochastic differential utility | |||||||
| 資源タイプ | ||||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||||
| 資源タイプ | technical report | |||||||
| 著者 |
Kusuda, Koji
× Kusuda, Koji
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| 著者(ヨミ) | ||||||||
| 姓名 | クスダ, コウジ | |||||||
| 著者別名 | ||||||||
| 姓名 | 楠田, 浩二 | |||||||
| 抄録 | ||||||||
| 内容記述タイプ | Abstract | |||||||
| 内容記述 | 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. |
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| 引用 | ||||||||
| 内容記述タイプ | Other | |||||||
| 内容記述 | CRR Working Paper, Series B, No. B-2, pp. 1-19 | |||||||
| 書誌情報 |
CRR Working Paper, Series B 号 B-2, p. 1-19, 発行日 2004-10 |
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| 出版者 | ||||||||
| 出版者 | Center for Risk Research (CRR), Shiga University | |||||||
| 資源タイプ | ||||||||
| 内容記述タイプ | Other | |||||||
| 内容記述 | Technical Report | |||||||
