A system of quadratic BSDEs arising in a price impact model
From MaRDI portal
Publication:292906
DOI10.1214/15-AAP1103zbMATH Open1339.60071arXiv1408.0916OpenAlexW4300593451MaRDI QIDQ292906FDOQ292906
Authors: Dmitry Kramkov, Sergio Pulido 
Publication date: 9 June 2016
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Abstract: We consider a financial model where the prices of risky assets are quoted by a representative market maker who takes into account an exogenous demand. We characterize these prices in terms of a system of BSDEs with quadratic growth. We show that this system admits a unique solution for every bounded demand if and only if the market maker's risk-aversion is sufficiently small. The uniqueness is established in the natural class of solutions, without any additional norm restrictions. To the best of our knowledge, this is the first study that proves such (global) uniqueness result for a system of fully coupled quadratic BSDEs.
Full work available at URL: https://arxiv.org/abs/1408.0916
Recommendations
- Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model
- A class of globally solvable Markovian quadratic BSDE systems and applications
- CREDIT RISK PREMIA AND QUADRATIC BSDEs WITH A SINGLE JUMP
- On a stochastic differential equation arising in a price impact model
- BSDEs in utility maximization with BMO market price of risk
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80)
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- A financial market with interacting investors: does an equilibrium exist?
- BSDE with quadratic growth and unbounded terminal value
- Solvability of backward stochastic differential equations with quadratic growth
- Utility maximization in incomplete markets
- Continuous exponential martingales and BMO
- Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
- Pricing in an equilibrium based model for a large investor
- Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model
- Splitting multidimensional BSDEs and finding local equilibria
Cited In (20)
- Existence and uniqueness results for BSDE with jumps: the whole nine yards
- On a stochastic differential equation arising in a price impact model
- Density of the set of probability measures with the martingale representation property
- Multi-dimensional backward stochastic differential equations of diagonally quadratic generators: the general result
- Multi-dimensional backward stochastic differential equations of diagonally quadratic generators
- Liquidity in competitive dealer markets
- Recursive utility processes, dynamic risk measures and quadratic backward stochastic Volterra integral equations
- A stability approach for solving multidimensional quadratic BSDEs
- A class of globally solvable Markovian quadratic BSDE systems and applications
- Optimal investment, derivative demand, and arbitrage under price impact
- Systems of Ergodic BSDEs Arising in Regime Switching Forward Performance Processes
- Equilibrium Pricing Under Relative Performance Concerns
- Equilibrium asset pricing with transaction costs
- Optimal consumption-investment with constraints in a regime switching market with random coefficients
- A type of globally solvable BSDEs with triangularly quadratic generators
- Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model
- On quadratic multidimensional type-I BSVIEs, infinite families of BSDEs and their applications
- Contracting Theory with Competitive Interacting Agents
- Radner equilibrium and systems of quadratic BSDEs with discontinuous generators
- Existence of an equilibrium with limited participation
This page was built for publication: A system of quadratic BSDEs arising in a price impact model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q292906)
