Equilibrium Theory in Continuous Time

179 Pages Posted: 4 May 2020 Last revised: 28 Sep 2020

See all articles by Tomas Bjork

Tomas Bjork

Stockholm School of Economics - Swedish House of Finance

Date Written: March 1, 2012

Abstract

This paper contains my (still incomplete) lecture notes on equilibrium theory in continuous time. It is intended for PhD students with a reasonably solid background in stochastic calculus.

Keywords: Equilibrium, Martingale, Dynamic Programming, Asset Pricing, Filtering, Control

JEL Classification: D5, G11, G12, G13

Suggested Citation

Bjork, Tomas, Equilibrium Theory in Continuous Time (March 1, 2012). Swedish House of Finance Research Paper No. 20-22, Available at SSRN: https://ssrn.com/abstract=3570380 or http://dx.doi.org/10.2139/ssrn.3570380

Tomas Bjork (Contact Author)

Stockholm School of Economics - Swedish House of Finance ( email )

Drottninggatan 98
111 60 Stockholm
Sweden

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