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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

MSC:

91B25 Asset pricing models (MSC2010)
91B50 General equilibrium theory
91B62 Economic growth models
91G10 Portfolio theory
91G30 Interest rates, asset pricing, etc. (stochastic models)
91G80 Financial applications of other theories
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
60J60 Diffusion processes
93E20 Optimal stochastic control

Citations:

Zbl 1274.91447
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