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ADVANCES IN GENERAL EQUILIBRIUM THEORY (MARTINGALE, FINANCE).

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	ADVANCES IN GENERAL EQUILIBRIUM THEORY (MARTINGALE, FINANCE)./
作者:	DUFFIE, JAMES DARRELL.
出版者:	Ann Arbor : ProQuest Dissertations & Theses, : 1984,
面頁冊數:	67 p.
附註:	Source: Dissertations Abstracts International, Volume: 45-07, Section: A.
Contained By:	Dissertations Abstracts International45-07A.
標題:	Economic theory. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=8420516
ISBN:	9798684665615

ADVANCES IN GENERAL EQUILIBRIUM THEORY (MARTINGALE, FINANCE).
DUFFIE, JAMES DARRELL.

ADVANCES IN GENERAL EQUILIBRIUM THEORY (MARTINGALE, FINANCE). - Ann Arbor : ProQuest Dissertations & Theses, 1984 - 67 p.

Source: Dissertations Abstracts International, Volume: 45-07, Section: A.

Thesis (Ph.D.)--Stanford University, 1984.

This item must not be sold to any third party vendors.

A competitive equilibrium is a set of prices at which firms' value maximizing production decisions and individuals' preferred affordable consumption choices equate supply and demand in every market. This dissertation advances the study of competitive equilibria in two directions. Part I, Competitive Equilibria in General Choice Spaces shows primarily that the existence of Arrow-Debreu style competitive equilibria is remarkably robust over the range of vector spaces of commodity bundles. Two conditions based on production possibilities, preferences, and the topological nature of bounded sets are shown to substitute, in any locally convex space, for the advantages of the Euclidean topology. Examples fulfilling these conditions are supplied. The approach is that of Truman-Bewley, demonstrating equilibria on finite dimensional sub-economies, each of which is a copy of the classical Debreu economy, and establishing a net of these equilibria which converge to an equilibrium for the full economy. In Part II, Existence and Spanning Number of Dynamic Equilibria Under Uncertainty, continuous-trading continuous-consuming equilibria of the Radner style are demonstrated in a general setting of uncertainty. It is shown that equilibrium price processes can be martingales under various expectations, including agents' subjective beliefs. The spanning number of the economy is defined as the fewest number of security markets required to dynamically complete markets, in a sense made precise. The spanning number is characterized directly in terms of the manner in which new information resolves uncertainty over time. The spanning number is shown to be invariant under bounded changes in expectations. Several examples are given in which the spanning number is finite even though the number of uncertain states of the world is infinite. A connection is made between random numeraire claims and the equilibrium behavior of stochastic security price processes.

ISBN: 9798684665615Subjects--Topical Terms:

1556984
Economic theory.

ADVANCES IN GENERAL EQUILIBRIUM THEORY (MARTINGALE, FINANCE).
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520 $a A competitive equilibrium is a set of prices at which firms' value maximizing production decisions and individuals' preferred affordable consumption choices equate supply and demand in every market. This dissertation advances the study of competitive equilibria in two directions. Part I, Competitive Equilibria in General Choice Spaces shows primarily that the existence of Arrow-Debreu style competitive equilibria is remarkably robust over the range of vector spaces of commodity bundles. Two conditions based on production possibilities, preferences, and the topological nature of bounded sets are shown to substitute, in any locally convex space, for the advantages of the Euclidean topology. Examples fulfilling these conditions are supplied. The approach is that of Truman-Bewley, demonstrating equilibria on finite dimensional sub-economies, each of which is a copy of the classical Debreu economy, and establishing a net of these equilibria which converge to an equilibrium for the full economy. In Part II, Existence and Spanning Number of Dynamic Equilibria Under Uncertainty, continuous-trading continuous-consuming equilibria of the Radner style are demonstrated in a general setting of uncertainty. It is shown that equilibrium price processes can be martingales under various expectations, including agents' subjective beliefs. The spanning number of the economy is defined as the fewest number of security markets required to dynamically complete markets, in a sense made precise. The spanning number is characterized directly in terms of the manner in which new information resolves uncertainty over time. The spanning number is shown to be invariant under bounded changes in expectations. Several examples are given in which the spanning number is finite even though the number of uncertain states of the world is infinite. A connection is made between random numeraire claims and the equilibrium behavior of stochastic security price processes.
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