DOIAbstract
Martins-da-Rocha VF, Riedel F. On equilibrium prices in continuous time. JOURNAL OF ECONOMIC THEORY. 2010;145(3):1086-1112.State prices are the fundamental building block for dynamic asset pricing models. We provide here a general continuous-time setup that allows to derive non-trivial structural properties for state-prices from economic fundamentals. To this end, we combine general equilibrium theory and theorie generale of stochastic processes to characterize state prices that lead to continuous price systems on the consumption set. We also show that equilibria with such state prices exist. (C) 2010 Elsevier Inc. All rights reserved
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