A system of quadratic BSDEs arising in a price impact model (Q292906)

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A system of quadratic BSDEs arising in a price impact model
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    title
    A system of quadratic BSDEs arising in a price impact model (English)
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    DOI
    10.1214/15-AAP1103
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    author
    Dmitry Kramkov
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    Sergio Pulido
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    publication date
    9 June 2016
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    Mathematics Subject Classification ID
    60H10
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    91B24
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    91G80
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    zbMATH DE Number
    6590323
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    zbMATH Keywords
    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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    arXiv ID
    1408.0916
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    OpenAlex ID
    W4300593451
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