A system of quadratic BSDEs arising in a price impact model (Q292906): Difference between revisions
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60H10 / rank | |||
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| Property / Mathematics Subject Classification ID: 91B24 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G80 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6590323 / rank | |||
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| Property / zbMATH Keywords | |||
quadratic backward stochastic differential equations | |||
| Property / zbMATH Keywords: quadratic backward stochastic differential equations / rank | |||
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financial model | |||
| Property / zbMATH Keywords: financial model / rank | |||
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price impact | |||
| Property / zbMATH Keywords: price impact / rank | |||
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liquidity | |||
| Property / zbMATH Keywords: liquidity / rank | |||
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Revision as of 20:11, 27 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A system of quadratic BSDEs arising in a price impact model |
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A system of quadratic BSDEs arising in a price impact model (English)
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9 June 2016
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quadratic backward stochastic differential equations
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financial model
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price impact
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liquidity
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