ON EXISTENCE OF AN ARROW-RADNER EQUILIBRIUM IN THE CASE OF COMPLETE MARKETS - A REMARK

被引:11
作者
DANA, RA [1 ]
PONTIER, M [1 ]
机构
[1] UNIV ORLEANS,DEPT MATH & INFORMAT,F-45017 ORLEANS,FRANCE
关键词
ARROW-RADNER AND ARROW-DEBREU EQUILIBRIA; CONTINUOUS TIME PURE EXCHANGE STOCHASTIC ECONOMY;
D O I
10.1287/moor.17.1.148
中图分类号
C93 [管理学]; O22 [运筹学];
学科分类号
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要
We consider a continuous time pure exchange stochastic economy with a financial sector. We first give a proof of the "equivalence" of Arrow-Radner and Arrow-Debreu equilibria under the assumption that the gains associated to the securities form a local martingale generator. We then give a simple proof of existence of an Arrow-Debreu equilibrium in the separable utility case, under the assumption that either all agents have finite marginal utility at zero or aggregate endowment is uniformly bounded below.
引用
收藏
页码:148 / 163
页数:16
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