Cox, John C.; Ingersoll, Jonathan E.; Ross, Stephen A. An intertemporal general equilibrium model of asset prices. (English) Zbl 0576.90006 Econometrica 53, 363-384 (1985). This paper deals with a streamlined and stimulating application of stochastic differential and Hamilton-Jacobi-Bellman equations, martingales, Girsanov transformations, Itō’s change of variables formula and the like to matters related to asset pricing within the general equilibrium framework. Very clear and precise economic interpretations are given viewing the underlying state equation as a pure capital growth model.See also the authors’ paper [Econometrica 53, 385–407 (1985; Zbl 1274.91447)]. Reviewer: G.L.Gomez M Cited in 20 ReviewsCited in 218 Documents MSC: 91B25 Asset pricing models (MSC2010) 91B50 General equilibrium theory 91B62 Economic growth models 91G10 Portfolio theory 91G30 Interest rates, asset pricing, etc. (stochastic models) 91G80 Financial applications of other theories 60H10 Stochastic ordinary differential equations (aspects of stochastic analysis) 60J60 Diffusion processes 93E20 Optimal stochastic control Keywords:portfolio theory; financial economics; stochastic differential; equations; Hamilton-Jacobi-Bellman equations; martingales; Girsanov transformations; Itō’s change of variables; asset pricing; economic interpretations; capital growth Citations:Zbl 1274.91447 PDFBibTeX XMLCite \textit{J. C. Cox} et al., Econometrica 53, 363--384 (1985; Zbl 0576.90006) Full Text: DOI Link