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

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+BSDE with quadratic growth and unbounded terminal value
+Normal rank
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+Splitting multidimensional BSDEs and finding local equilibria
+Normal rank
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+A financial market with interacting investors: does an equilibrium exist?
+Normal rank
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+Pricing in an equilibrium based model for a large investor
+Normal rank
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+Utility maximization in incomplete markets
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+Normal rank
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+Continuous exponential martingales and BMO
@@ Property / cites work: Continuous exponential martingales and BMO / rank @@
+Normal rank
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+Backward stochastic differential equations and partial differential equations with quadratic growth.
+Normal rank
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+Stability and Analytic Expansions of Local Solutions of Systems of Quadratic BSDEs with Applications to a Price Impact Model
+Normal rank
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+Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
+Normal rank
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+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
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+Solvability of backward stochastic differential equations with quadratic growth
+Normal rank