A Theory of Continuous Trading When Lumpiness of Consumption Is
نویسندگان
چکیده
A theory of continuous trading with a very general commodity space is developed encompassing all the existing models as special cases. Agents are allowed to consume at lumps if they choose to. The martingale characterization of an equilibrium price system originated by Harrison and Kreps [8] is extended to our economy. The relationship between the sample paths properties of a price system and the way information is revealed as studied by Huang [10] is examined. In particular, we show that if agents' preferences are continuous enough, if the information of the economy is generated by a Brownian motion, and if the accumulated dividends process of a claim is continuous, then the equilibrium price process for this claim in units of the consumption commodity is an Ito process.
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