Date of Original Version
Abstract or Table of Contents
Abstract: "General equilibrium models in which economic agents have finite marginal utility from consumption at the origin lead to financial assets whose prices are continuous but exhibit singular components. In particular, there is no bona-fide 'interest rate' in such models, although asset prices can be determined by equilibrium considerations (and uniquely, up to the formation of mutual funds). The singularly continuous processes in question charge precisely the set of time-points at which some agent 'drops out' of the economy, or 'comes back' into it, between intervals of zero-consumption. Not surprisingly, these processes are governed by local time."