Stochastic multi-agent equilibria in economies with jump-diffusion uncertainty

We study a multi-agent dynamic production economy that is subject to diffusive as well as shock sources of uncertainty. Using the theory of martingales and point processes, we establish existence of an equilibrium in the economy. The equilibrium commodity price, asset prices, and optimal policies of the individual agents are explicitly characterized. We also establish the general existence of a risk-neutral measure for equilibrium asset prices in the presence of jump risk.