Financial equilibria in the semimartingale setting: Complete markets and markets with withdrawal constraints

We prove existence of stochastic financial equilibria on filtered spaces more general than the ones generated by finite-dimensional Brownian motions. These equilibria span complete markets, or the markets in which incompleteness stems from withdrawal constraints. We deal with general time-dependent utility functions on which only regularity assumptions are imposed and random endowment density streams which admit jumps. As side-products of the proof os the main result, we establish a novel characterization of semimartingale functions, and a simple Novikov-type criterion for Lp -boundedness of exponential local martingales with jumps.

• Type: Journal
• Year: 2006
• Where: FS
• Authors: Gordan Zitkovic
• Keywords: Finite-dimensional Brownian Motions, FS 2006, Stochastic Financial Equilibria, Time-dependent Utility Functions