A financial market with interacting investors: does an equilibrium exist?

DOI10.1007/s11579-011-0039-0zbMath1255.91447OpenAlexW2146284189MaRDI QIDQ1932546

Christoph Frei, Gonçalo dos Reis

Publication date: 20 January 2013

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

Full work available at URL: https://doi.org/10.1007/s11579-011-0039-0

zbMATH Keywords

relative performancequadratic generatorG11approximated equilibriumC62interacting investorsmultidimensional BSDE

Mathematics Subject Classification ID

Special types of economic equilibria (91B52) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Trade models (91B60) Financial applications of other theories (91G80)

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