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An intertemporal general equilibrium model of asset prices. (English) Zbl 0576.90006

This paper deals with a streamlined and stimulating application of stochastic differential and Hamilton-Jacobi-Bellman equations, martingales, Girsanov transformations, Itō’s change of variables formula and the like to matters related to asset pricing within the general equilibrium framework. Very clear and precise economic interpretations are given viewing the underlying state equation as a pure capital growth model.

See also the authors’ paper [Econometrica 53, 385–407 (1985; Zbl 1274.91447)].

Reviewer: G.L.Gomez M

91B25Asset pricing models
91B50General equilibrium theory in economics
91B62Growth models in economics
91G10Portfolio theory
91G30Interest rates (stochastic models)
91G80Financial applications of other theories (stochastic control, calculus of variations, PDE, SPDE, dynamical systems)
60H10Stochastic ordinary differential equations
60J60Diffusion processes
93E20Optimal stochastic control (systems)