Existence of an equilibrium with discontinuous prices, asymmetric information, and nontrivial initial σ-fields

Caroline Hillairet

doi:10.1111/j.0960-1627.2005.00212.x

Existence of an equilibrium with discontinuous prices, asymmetric information, and nontrivial initial σ-fields

Caroline Hillairet

Université Paul Sabatier

Research output: Contribution to journal › Article › peer-review

Abstract

In this paper, we solve the problems of optimization and equilibrium on a continuous-time financial market with discontinuous prices, in which agents have different random endowments and different information on the structure and future behavior of the prices. Our purpose is to go over and to extend the work of Pikovsky and Karatzas (1996) by using the theory developed by Amendinger (2000) about martingale representation theorems for initially enlarged filtrations, and to generalize the results in the case of discontinuous prices.

Original language	English
Pages (from-to)	99-117
Number of pages	19
Journal	Mathematical Finance
Volume	15
Issue number	1
DOIs	https://doi.org/10.1111/j.0960-1627.2005.00212.x
Publication status	Published - 1 Jan 2005
Externally published	Yes

Keywords

Arrow-Debreu and Arrow-Radner equilibrium
Initial enlargement of filtrations
Martingale representation
Utility maximization

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10.1111/j.0960-1627.2005.00212.x

Cite this

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KW - Arrow-Debreu and Arrow-Radner equilibrium

KW - Initial enlargement of filtrations

KW - Martingale representation

KW - Utility maximization

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Existence of an equilibrium with discontinuous prices, asymmetric information, and nontrivial initial σ-fields

Abstract

Keywords

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