Information structure and equilibrium asset prices
In a continuous trading economy, it is shown that if information is revealed continuously and if agents' preferences are continuous in a certain topology, then equilibrium asset price processes must have continuous sample paths. Except for uninteresting cases, the sample paths of price processes will be of unbounded variation. In particular, if the information is generated by a Brownian motion, then equilibrium asset price processes are Ito integrals. When information is not revealed continuously, the times (which may be random) at which prices can have jumps are identified.
scientific article; zbMATH DE number 3882156