Existence and uniqueness of a steady state for an OTC market with several assets

DOI10.1007/S11579-016-0167-7zbMATH1404.91118OpenAlexW2311338722MaRDI QIDQ317551FDOQ317551

Authors Alain Bélanger, Ndouné Ndouné

Publication date 30 September 2016

Published in Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1411.7991

zbMATH Keywords

steady statemarket structurenonlinear ODE's

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Nonlinear boundary value problems for ordinary differential equations (34B15)

Abstract: We introduce and study a class of over-the-counter market models specified by systems of Ordinary Differential Equations (ODE's), in the spirit of Duffie- G^arleanu-Pedersen [6]. The key innovation is allowing for multiple assets. We show the existence and uniqueness of a steady state for these ODE's.

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Cites work

• scientific article; zbMATH DE number 6318810 (Why is no real title available?)
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