A system of quadratic BSDEs arising in a price impact model

DOI10.1214/15-AAP1103zbMath1339.60071arXiv1408.0916OpenAlexW4300593451MaRDI QIDQ292906

Dmitry Kramkov, Sergio Pulido

Publication date: 9 June 2016

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1408.0916

zbMATH Keywords

liquidityprice impactquadratic backward stochastic differential equationsfinancial model

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80)

Related Items (18)

Equilibrium Pricing Under Relative Performance Concerns ⋮ Liquidity in competitive dealer markets ⋮ Optimal investment, derivative demand, and arbitrage under price impact ⋮ Multi-dimensional backward stochastic differential equations of diagonally quadratic generators: the general result ⋮ On quadratic multidimensional type-I BSVIEs, infinite families of BSDEs and their applications ⋮ Existence of an equilibrium with limited participation ⋮ A type of globally solvable BSDEs with triangularly quadratic generators ⋮ Systems of Ergodic BSDEs Arising in Regime Switching Forward Performance Processes ⋮ A stability approach for solving multidimensional quadratic BSDEs ⋮ Existence and uniqueness results for BSDE with jumps: the whole nine yards ⋮ Contracting Theory with Competitive Interacting Agents ⋮ A class of globally solvable Markovian quadratic BSDE systems and applications ⋮ Equilibrium asset pricing with transaction costs ⋮ Multi-dimensional backward stochastic differential equations of diagonally quadratic generators ⋮ Recursive utility processes, dynamic risk measures and quadratic backward stochastic Volterra integral equations ⋮ Stability and Analytic Expansions of Local Solutions of Systems of Quadratic BSDEs with Applications to a Price Impact Model ⋮ Density of the set of probability measures with the martingale representation property ⋮ Radner equilibrium and systems of quadratic BSDEs with discontinuous generators

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Splitting multidimensional BSDEs and finding local equilibria
• Continuous exponential martingales and BMO
• Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• A financial market with interacting investors: does an equilibrium exist?
• Pricing in an equilibrium based model for a large investor
• BSDE with quadratic growth and unbounded terminal value
• Solvability of backward stochastic differential equations with quadratic growth
• Utility maximization in incomplete markets
• Stability and Analytic Expansions of Local Solutions of Systems of Quadratic BSDEs with Applications to a Price Impact Model

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