This paper replaces an older version titled “Quasi-arbitrage, Optimality, State Pricing and Duality in Constrained Financial Markets with Continuous and Discontinuous Information.” In writing this paper, we have benefited from earlier discussions with Jakša Cvitanić, Darrell Duffie, and Thaleia Zariphopoulou. We also value the feedback we have received from Jerome Detemple. We are responsible for any errors.
OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION
Version of Record online: 13 MAR 2008
2008 The Authors. Journal compilation © 2008 Blackwell Publishing Inc.
Volume 18, Issue 2, pages 199–238, April 2008
How to Cite
Schroder, M. and Skiadas, C. (2008), OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION. Mathematical Finance, 18: 199–238. doi: 10.1111/j.1467-9965.2007.00330.x
- Issue online: 13 MAR 2008
- Version of Record online: 13 MAR 2008
- Manuscript received August 2006; final revision received April 2007.
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