Approximation theorems for stochastic economies with incomplete markets

DOI10.1016/0304-4068(90)90003-RzbMath0718.90013MaRDI QIDQ2639758

Joan A. Ketterer

Publication date: 1990

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

zbMATH Keywords

robustnessmartingalesincomplete marketsPareto efficiencystochastic integralsperfect informationperfect competitioncomplete observationapproximately complete marketsepsilon equilibriumexistence of a limit economy

Mathematics Subject Classification ID

Sequential statistical methods (62L99) Economic growth models (91B62) Stochastic processes (60G99) General equilibrium theory (91B50)

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Cites Work

• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
• Stochastic Equilibria: Existence, Spanning Number, and the `No Expected Financial Gain from Trade' Hypothesis
• On Square Integrable Martingales
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