Existence of general equilibrium for stochastic economy with infinite-dimensional commondity space and incomplete financial markets

This paper analyses the general equilibrium existence problem in a (finite) discretetime economy with infinite-dimensional commodity space and incomplete financial markets. It is assumed that the trading takes place in the sequence of spot markets and futures markets for securities payable in units of account. Unlimited short-selling in securities is allowed. The existence of such an equilibrium is proved under the following conditions: Mackey continuous, weakly convex, strictly monotone, complete preferences and strictly positive endowments. This work is supported by a project of Financial Mathematics, Financial Engineering and Financial Management, which is one of “Ninth Five-Year Plan” Major Projects of National Natural Science Foundation of China (Grant 79790130) and Xiao Linshi Foundation of China Economic Research, School of Economics and Management, Tsinghua University.