Before revision: This paper studies Markovian asset pricing models where the underlying economic uncertainty follows a continuous-time Markov process X with a general state space ( namely, a Borel right process (BRP)) and the pricing kernel ( stochastic discount factor , state-price density ) is a positive semimartingale multiplicative functional of X.
After revision: This paper develops a spectral theory of Markovian asset pricing models where the underlying economic uncertainty follows a continuous-time Markov process X with a general state space ( namely, a Borel right process (BRP)) and the pricing kernel ( stochastic discount factor , state-price density ) is a positive semimartingale multiplicative functional of X.