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

DOI10.1007/S11579-016-0167-7zbMATH Open1404.91118arXiv1411.7991OpenAlexW2311338722MaRDI QIDQ317551FDOQ317551

Ndouné Ndouné, Alain Bélanger

Publication date: 30 September 2016

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

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.

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

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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)

Cites Work

• Over-the-Counter Markets
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• On convolved generalized Fibonacci and Lucas polynomials
• Law of Large Numbers for Dynamic Bargaining Markets
• Nonlinear alternatives of Schauder and Krasnosel'skij types with applications to Hammerstein integral equations in \(L^1\) spaces

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