A system of quadratic BSDEs arising in a price impact model (Q292906): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+H10
@@ Property / Mathematics Subject Classification ID: 60H10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+B24
@@ Property / Mathematics Subject Classification ID: 91B24 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G80
@@ Property / Mathematics Subject Classification ID: 91G80 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6590323
@@ Property / zbMATH DE Number: 6590323 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+quadratic backward stochastic differential equations
+Normal rank
@@ Property / zbMATH Keywords @@
+financial model
@@ Property / zbMATH Keywords: financial model / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+price impact
@@ Property / zbMATH Keywords: price impact / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+liquidity
@@ Property / zbMATH Keywords: liquidity / rank @@
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+Publication
@@ Property / MaRDI profile type: Publication / rank @@
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@@ Property / arXiv ID @@
+.0916
@@ Property / arXiv ID: 1408.0916 / rank @@
+Normal rank
@@ Property / cites work @@
+BSDE with quadratic growth and unbounded terminal value
+Normal rank
@@ Property / cites work @@
+Splitting multidimensional BSDEs and finding local equilibria
+Normal rank
@@ Property / cites work @@
+A financial market with interacting investors: does an equilibrium exist?
+Normal rank
@@ Property / cites work @@
+Pricing in an equilibrium based model for a large investor
+Normal rank
@@ Property / cites work @@
+Utility maximization in incomplete markets
@@ Property / cites work: Utility maximization in incomplete markets / rank @@
+Normal rank
@@ Property / cites work @@
+Continuous exponential martingales and BMO
@@ Property / cites work: Continuous exponential martingales and BMO / rank @@
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations and partial differential equations with quadratic growth.
+Normal rank
@@ Property / cites work @@
+Stability and Analytic Expansions of Local Solutions of Systems of Quadratic BSDEs with Applications to a Price Impact Model
+Normal rank
@@ Property / cites work @@
+Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
+Normal rank
@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+Solvability of backward stochastic differential equations with quadratic growth
+Normal rank
@@ Property / OpenAlex ID @@
+W4300593451
@@ Property / OpenAlex ID: W4300593451 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:292906