Related papers: On Equilibrium Prices in Continuous Time
The paper tests the validity of the critique of the fiscal theory of the price level. A stochastic general equilibrium model with continuous time is constructed. An active fiscal policy and a passive monetary policy have been set. Monetary…
The theorems we proved describe the structure of economic equilibrium in the exchange economy model. We have studied the structure of property vectors under given structure of demand vectors at which given price vector is equilibrium one.…
This paper develops a strategic model of trade between two regions in which, depending on the relation among output, financial resources and transportation costs, the adjustment of prices towards an equilibrium is studied. We derive…
We characterize the conditions under which a multi-time quantum process with a finite temporal resolution can be approximately described by an equilibrium one. By providing a generalization of the notion of equilibration on average, where a…
In this talk I will introduce the principle of stochastic stability and discussing its consequences both at equilibrium and off-equilibrium.
In this paper, we propose an equilibrium pricing model in a dynamic multi-period stochastic framework with uncertain income streams. In an incomplete market, there exist two traded risky assets (e.g. stock/commodity and weather derivative)…
We observe that the time averaged continuous Price equation is identical to the positive momentum virial theorem, and we discuss the applications and implications of this connection.
This paper studies the equilibrium price of an asset that is traded in continuous time between N agents who have heterogeneous beliefs about the state process underlying the asset's payoff. We propose a tractable model where agents maximize…
In this paper, we extend and improve the production chain model introduced by Kikuchi et al. (2018). Utilizing the theory of monotone concave operators, we prove the existence, uniqueness, and global stability of equilibrium price, hence…
A generic non-integrable (unitary) out-of-equilibrium quantum process, when interrogated across many times, is shown to yield the same statistics as an (non-unitary) equilibrated process. In particular, using the tools of quantum stochastic…
Our goal is to present the basic results on one-dimensional Gibbs and equilibrium states viewed as special invariant measures on symbolic dynamical systems, and then to describe without technicalities a sample of results they allowed to…
In this paper, which is a continuation of the previously published discrete time paper we develop a theory for continuous time stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a…
We unify two recent results concerning equilibration in quantum theory. We first generalise a proof of Reimann [PRL 101,190403 (2008)], that the expectation value of 'realistic' quantum observables will equilibrate under very general…
We study risk-sharing economies where heterogenous agents trade subject to quadratic transaction costs. The corresponding equilibrium asset prices and trading strategies are characterised by a system of nonlinear, fully-coupled…
We develop a tractable equilibrium model for price formation in intraday electricity markets in the presence of intermittent renewable generation. Using stochastic control theory, we identify the optimal strategies of agents with market…
We obtain an exact necessary and sufficient condition for the existence and uniqueness of equilibrium asset prices in infinite horizon, discrete-time, arbitrage free environments. Through several applications we show how the condition…
We investigate thermodynamics of general nonequilibrium processes stopped at stochastic times. We propose a systematic strategy for constructing fluctuation-theorem-like martingales for each thermodynamic functional, yielding a family of…
In this article, we consider the problem of equilibrium price formation in an incomplete securities market consisting of one major financial firm and a large number of minor firms. They carry out continuous trading via the securities…
We study risk-sharing equilibria with general convex costs on the agents' trading rates. For an infinite-horizon model with linear state dynamics and exogenous volatilities, we prove that the equilibrium returns mean-revert around their…
We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have…