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
DOI10.1137/15M1035859zbMATH Open1347.60069arXiv1410.6144OpenAlexW2963486545MaRDI QIDQ2819094FDOQ2819094
Authors: Dmitry Kramkov, Sergio Pulido 
Publication date: 28 September 2016
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Abstract: We obtain stability estimates and derive analytic expansions for local solutions of multi-dimensional quadratic BSDEs. We apply these results to a financial model where the prices of risky assets are quoted by a representative dealer in such a way that it is optimal to meet an exogenous demand. We show that the prices are stable under the demand process and derive their analytic expansions for small risk aversion coefficients of the dealer.
Full work available at URL: https://arxiv.org/abs/1410.6144
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Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80)
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Cited In (12)
- Existence and uniqueness results for BSDE with jumps: the whole nine yards
- Multidimensional Markovian FBSDEs with super-quadratic growth
- On a stochastic differential equation arising in a price impact model
- Multi-dimensional backward stochastic differential equations of diagonally quadratic generators: the general result
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