Download This PaperEquilibrium Theory in Continuous Time
179 Pages Posted: 4 May 2020 Last revised: 28 Sep 2020
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: 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