Existence of stochastic financial equilibria giving rise to semimartingaleasset prices is established under a general class of assumptions. Theseequilibria are expressed in real terms and span complete markets or marketswith withdrawal constraints.We deal with random endowment density streams whichadmit jumps and general time-dependent utility functions on which onlyregularity conditions are imposed. As an integral part of the proof of the mainresult, we establish a novel characterization of semimartingale functions.
展开▼
