Stability and Analytic Expansions of Local Solutions of Systems of Quadratic BSDEs with Applications to a Price Impact Model
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Publication:2819094
DOI10.1137/15M1035859zbMath1347.60069arXiv1410.6144OpenAlexW2963486545MaRDI QIDQ2819094
Publication date: 28 September 2016
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1410.6144
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80)
Related Items (11)
A system of quadratic BSDEs arising in a price impact model ⋮ Liquidity in competitive dealer markets ⋮ A strong convergence rate of the averaging principle for two-time-scale forward-backward stochastic differential equations ⋮ Multi-dimensional backward stochastic differential equations of diagonally quadratic generators: the general result ⋮ On quadratic multidimensional type-I BSVIEs, infinite families of BSDEs and their applications ⋮ Systems of Ergodic BSDEs Arising in Regime Switching Forward Performance Processes ⋮ A stability approach for solving multidimensional quadratic BSDEs ⋮ Existence and uniqueness results for BSDE with jumps: the whole nine yards ⋮ Contracting Theory with Competitive Interacting Agents ⋮ Multidimensional Markovian FBSDEs with super-quadratic growth ⋮ Multi-dimensional backward stochastic differential equations of diagonally quadratic generators
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