Lyasoff, Andrew2020-12-152020-12-15Andrew Lyasoff. "General Incomplete-Market Equilibria in Continuous Time."https://hdl.handle.net/2144/41806The paper develops the continuous-time (infinite state space) counterpart of the discretetime general incomplete-market equilibrium model due to Dumas and Lyasoff [11]. It is shown that the main conclusions from [11] carry over to the infinite dimensional case: the requirements that all market participants can solve their investment-consumption problems at the optimum, that their individual pricing measures produce identical spot prices for all actively traded streams of stochastic payoffs, and the markets clear, generate the same number of restrictions as there are degrees of freedom in fixing the equilibrium (choice of asset prices, consumption plans, and investment strategies) – regardless of the degree of market incompleteness. Since both “restrictions” and “degrees of freedom” are uncountably infinite in number, the identification of the equilibrium involves a framework that is very different in nature from the one employed in the case of finite economies.en-US© 2019 by Andrew LyasoffIncomplete marketsInvestment-consumption choiceStochastic principle of maximumArticle516325