We consider a Lucas asset-pricing model with heterogeneous agents, exogenous labor income, and a finite number of exogenous shocks. Although agents are infinitely lived, endowments and dividends are time-invariant functions of the exogenous shock alone and are thus restricted to lie in a...

There are a wide variety of theoretical general equilibrium models with incomplete security markets. In this paper we give a general recipe for using homotopy algorithm to compute equilibria in these models. In many models, taxes, transaction-costs or other market frictions introduce the...

At a stationary Markov equilibrium of a Markovian economy of overlapping generations, prices at a date-event are determined by the realization of the shock, the distribution of wealth and, with production, the stock of capital. Stationary Markov equilibria may not exist; this is the case with...

The literature on the computation of Nash equilibria in n-person games is dominated by simplicial methods. This paper is the first to introduce a globally convergent algorithm that fully exploits the differentiability present in the problem. It presents an everywhere differentiable homotopy to...

Theories of equilibrium selection in non-cooperative games, as well as the notion of risk dominance, depend heavily on the so-called linear tracing procedure. This is the first paper to give direct, simple proofs of the feasibility of the linear tracing procedure. The first proof utilizes a...

An exchange economy with price rigidities and rationing is considered. The rationing systems allowed are very general. Several characterizations of the set of constrained equilibria are given, and new equilibrium existence results are provided. More specifically, well-known properties like the...

An extremely simple proof of the K-K-M-S Theorem is given involving only Brouwer's fixed point theorem and some elementary calculus. A function is explicitly given such that a fixed point of it yields an intersection point of a balanced collection of sets together with balancing weights....

There exists an extensive literature about economies with price rigidities, where some constraints on the set of admissible price systems are exogenously given. In this paper a general equilibrium model extended by a political system is described where the price rigidities are endogenously...