Finance and Stochastics

, Volume 10, Issue 1, pp 99–119 | Cite as

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

  • Gordan Žitković


Existence of stochastic financial equilibria giving rise to semimartingale asset prices is established under a general class of assumptions. These equilibria are expressed in real terms and span complete markets or markets with withdrawal constraints. We deal with random endowment density streams which admit jumps and general time-dependent utility functions on which only regularity conditions are imposed. As an integral part of the proof of the main result, we establish a novel characterization of semimartingale functions.


financial equilibrium complete markets semimartingales semimartingale functions withdrawal constraints 


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Copyright information

© Springer-Verlag Berlin/Heidelberg 2006

Authors and Affiliations

  1. 1.Department of Mathematical SciencesCarnegie Mellon UniversityPittsburghUSA

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