The Lucas Orchard

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Disaster Risk and its Implications for Asset Pricing (2015, unknown): “A disaster is represented by dNt = 1, and e Zt is the change in consumption 4See Martin (2013) for a solution to a general class of models of which this model is an example.”
Consumption-Based Asset Pricing with Higher Cumulants (2010, background): “(See Weitzman (2005).) Example 5 The α-stable Paretian processes advocated by Mandelbrot (1963, 1967) are Lévy processes with the additional property that for any constant c > 0, the law of {Lct}t≥0 is the same as the law of {cLt}t≥0; α ∈ (0, 2] is the index of the process.”
Generalized Transform Analysis of Affine Processes and Applications in Finance (2012, unknown): “This is the case considered by Cochrane, Longstaff, and Santa-Clara (2008) and Martin (2011), both of which assume i.i.d. dividend growth.”
Asset Prices with Heterogeneity in Preferences and Beliefs (2014, unknown): “This is in contrast to Cochrane, Longstaff, and Santa Clara (2008) and Martin (2008), where agents have the same level of relative risk aversion.”