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\title{Financial equilibria in complete semimartingale markets}
\author{Gordan Zitkovic \\
  Carnegie Mellon University}
\date{Computational Finance Seminar, \\
  October 11}


\maketitle

\begin{abstract}
  A financial equilibrium is a stable price system - i.e. it exactly
  balances demand and supply when all the agents act rationally.  We
  prove existence of stochastic financial equilibria on filtered
  spaces more general than the ones generated by finite-dimensional
  Brownian motions. These equilibria span complete markets, or the
  markets in which incompleteness stems from withdrawal constraints.
  We deal with general time-dependent utility functions on which only
  regularity assumptions are imposed and random endowment density
  streams which admit jumps. As side-products of the proof of the main
  result, we establish a novel characterization of semimartingale
  functions, and a simple criterion of the Novikov type for
  $L^p$-boundedness of exponential local martingales with jumps.
\end{abstract}


\end{document}


