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Discrete-time stochastic equilibrium with infinite horizon incomplete asset markets

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Abstract

This paper examines the existence of general equilibrium in a discrete time economy with the infinite horizon incomplete markets. There is a single good at each node in the event tree. The existence of general equilibrium for the infinite horizon economy is proved by taking limit of equilibria in truncated economies in which trade stops at a sequence of dates.

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Authors and Affiliations

  1. School of Economics and Management, Tsinghua Univ., 100084, Beijing

    Zhang Shunming

  2. Dept. of Economics, Univ. of Western Ontario, N6A 5C2, London, ON, Canada

    Zhang Shunming

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  1. Zhang Shunming
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Additional information

This research was supported by a project of Financial Mathematics, Financial Engineering and Financial Management, which is one of “Ninth Five-Year Plan” Major Projects of National Natural Science Foundation of China (79790130), Asset pricing theory with frictional security markets, which is a project of National Natural Science Foundation of China (70003002) and 985 Basic Foundation, School of Economics and Management, Tsinghua University.

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Shunming, Z. Discrete-time stochastic equilibrium with infinite horizon incomplete asset markets. Appl. Math. Chin. Univ. 16, 203–218 (2001). https://doi.org/10.1007/s11766-001-0028-9

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  • DOI: https://doi.org/10.1007/s11766-001-0028-9

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