A system of quadratic BSDEs arising in a price impact model
type: Item
instance of: scholarly article
title: A system of quadratic BSDEs arising in a price impact model
zbMATH Open document ID: 1339.60071
DOI: 10.1214/15-AAP1103
author: Dmitry Kramkov
author: Sergio Pulido
published in: The Annals of Applied Probability
publication date: 2016-06-09T00:00:00Z
full work available at URL: https://arxiv.org/abs/1408.0916
full work available at URL: https://projecteuclid.org/euclid.aoap/1458651820
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 91B24
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 6590323
zbMATH Keywords: quadratic backward stochastic differential equations
zbMATH Keywords: financial model
zbMATH Keywords: price impact
zbMATH Keywords: liquidity
MaRDI profile type: Publication
arXiv ID: 1408.0916
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OpenAlex ID: W4300593451
description: scientific article; zbMATH DE number 6590323