We combine general equilibrium theory and théorie générale of stochastic processes to derive structural results about equilibrium state prices.

We develop the fundamental theorem of asset pricing in a probability-free infinite-dimensional setup. We replace the usual assumption of a prior probability by a certain continuity property in the state variable. Probabilities enter then endogenously as full support martingale measures (instead...

Ambiguity can be used as a strategic device in some situations. To demonstrate this, we propose and study a framework for normal form games where players can use Knightian uncertainty strategically. In such Ellsberg games, players may use Ellsberg urns in addition to the standard objective mixed...

In a recent paper, Jäger, Metzger, and Riedel (2011) study communication games of common interest when signals are simple and types complex. They characterize strict Nash equilibria as so–called Voronoi languages that consist of Voronoi tesselations of the type set and Bayesian estimators on...

We prove that in smooth Markovian continuous-time economies with potentially complete asset markets, Radner equilibria with endogenously complete markets exist.

We study a continuous-time problem of public good contribution under uncertainty for an economy with a finite number of agents. Each agent aims to maximize his expected utility allocating his initial wealth over a given time period between private consumption and repeated but irreversible...

We consider optimal consumption and portfolio choice in the presence of Knightian uncertainty in continuous time. We embed the problem into the new framework of stochastic calculus for such settings, dealing in particular with the issue of non-equivalent multiple priors. We solve the problem...

We define the logit dynamic for games with continuous strategy spaces and establish its fundamental properties, i.e. the existence, uniqueness and continuity of solutions. We apply the dynamic to the analysis of the Burdett and Judd (1983) model of price dispersion. Our objective is to assess...

We analyze the Foster-Hart measure of riskiness for general distributions in dynamic settings. The Foster-Hart measure avoids bankruptcy in the long run. It is not time-consistent.

Under risk, Arrow-Debreu equilibria can be implemented as Radner equilibria by continuous trading of few long-lived securities. We show that this result generically fails if there is Knightian uncertainty in the volatility. Implementation is only possible if all discounted net trades of the...