A system of quadratic BSDEs arising in a price impact model

A system of quadratic BSDEs arising in a price impact model

We consider a financial model where the prices of risky assets are quoted by a representative market maker who takes into account an exogenous demand. We characterize these prices in terms of a system of BSDEs with quadratic growth. We show that this system admits a unique solution for every bounded...

書目詳細資料
Main Authors:	Kramkov, D, Pulido, S
格式:	Journal article
出版:	Institute of Mathematical Statistics 2016

相似書籍

Malliavin Regularity of Non-Markovian Quadratic BSDEs and Their Numerical Schemes
由: Salima Doubbakh, et al.
出版: (2023-04-01)

On the uniqueness of solutions to quadratic BSDEs with non-convex generators and unbounded terminal conditions
由: Fan, Shengjun, et al.
出版: (2020-06-01)

Finite Difference Methods for the BSDEs in Finance
由: Guangbao Guo
出版: (2018-03-01)

Existence, uniqueness and comparisons for BSDES in general spaces
由: Cohen, SN, et al.
出版: (2012)

Variable Step Size Adams Methods for BSDEs
由: Qiang Han
出版: (2021-01-01)

One-Dimensional BSDEs with Jumps and Logarithmic Growth
由: El Mountasar Billah Bouhadjar, et al.
出版: (2024-05-01)

Multidimensional Markovian BSDEs with Jumps and Continuous Generators
由: Mhamed Eddahbi, et al.
出版: (2022-12-01)

A quadratic bilinear equation arising from the quadratic dynamical system
由: Bo Yu, et al.
出版: (2021-08-01)

Monotonic Limit Properties for Solutions of BSDEs with Continuous Coefficients
由: ShengJun Fan, et al.
出版: (2009-01-01)

Mean-Field and Anticipated BSDEs with Time-Delayed Generator
由: Pei Zhang, et al.
出版: (2023-02-01)

Numerical approximation of general Lipschitz BSDEs with branching processes
由: Bouchard Bruno, et al.
出版: (2019-01-01)

Double barrier reflected BSDEs with stochastic Lipschitz coefficient
由: Mohamed Marzougue, et al.
出版: (2017-12-01)

SPDIEs and BSDEs Driven by Lévy Processes and Countable Brownian Motions
由: Pengju Duan
出版: (2016-01-01)

Generalized BSDEs driven by RCLL martingales with stochastic monotone coefficients
由: Badr Elmansouri, et al.
出版: (2023-12-01)

Applications of anticipated BSDEs driven by time-changing Lévy noises
由: Youxin Liu
出版: (2016-11-01)

BSDEs with monotone generator driven by time-changed Lévy noises
由: Xiaohui Shen, et al.
出版: (2017-08-01)

A linear numerical scheme for nonlinear BSDEs with uniformly continuous coefficients
由: Omid. S. Fard, et al.
出版: (2004-01-01)

Anticipated BSDEs Driven by Fractional Brownian Motion with a Time-Delayed Generator
由: Pei Zhang, et al.
出版: (2023-12-01)

Quasi-Regression Monte-Carlo Method for Semi-Linear PDEs and BSDEs
由: Emmanuel Gobet, et al.
出版: (2019-08-01)

Mean-field anticipated BSDEs driven by time-changed Lévy noises
由: Youxin Liu, et al.
出版: (2020-11-01)

A model for a large investor trading at market indifference prices. II: Continuous-time case
由: Bank, P, et al.
出版: (2015)

A model for a large investor trading at market indifference prices. I: Single-period case
由: Bank, P, et al.
出版: (2015)

The 𝒮-Transform of Sub-fBm and an Application to a Class of Linear Subfractional BSDEs
由: Zhi Wang, et al.
出版: (2013-01-01)

Representation Theorem for Generators of BSDEs Driven by G-Brownian Motion and Its Applications
由: Kun He, et al.
出版: (2013-01-01)

Backward Stochastic Differential Equations (BSDEs) Using Infinite-Dimensional Martingales with Subdifferential Operator
由: Pei Zhang, et al.
出版: (2022-10-01)

Dynamics at infinity and a Hopf bifurcation arising in a quadratic system with coexisting attractors
由: Wang, Z, et al.
出版: (2017)

Density of the set of probability measures with the martingale representation property
由: Kramkov, D, et al.
出版: (2019)

Sensitivity analysis of utility-based prices and risk-tolerance wealth processes
由: Kramkov, D, et al.
出版: (2007)

Reflected generalized discontinuous BSDEs with rcll barrier and an obstacle problem of IPDE with nonlinear Neumann boundary conditions
由: Mohammed Elhachemy, et al.
出版: (2022-12-01)

K-theory for Cuntz-Krieger algebras arising from real quadratic maps
由: Nuno Martins, et al.
出版: (2003-01-01)

Limited memory solution of bound constrained convex quadratic problems arising in video games
由: Ferris, M, et al.
出版: (2007)

Novel Numerical Investigation of Reaction Diffusion Equation Arising in Oil Price Modeling
由: Fehaid Salem Alshammari
出版: (2024-04-01)

Existence of an endogenously complete equilibrium driven by a diffusion
由: Kramkov, D
出版: (2015)

Estimating quadratic variation when quoted prices jump by a constant increment
由: Large, J
出版: (2005)

Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment.
由: Large, J
出版: (2007)

Estimating quadratic variation when quoted prices change by a constant increment
由: Large, J
出版: (2007)

Estimation of the quadratic variation of log prices based on the Itô semi-martingale
由: Erlin Guo, et al.
出版: (2024-01-01)

Energy Bidding Quadratic Model and the Use of the B-Loss Matrix for Determining Consumer Energy Price
由: Jangkung Raharjo, et al.
出版: (2022-09-01)

Convex hull of two quadratic or a conic quadratic and a quadratic inequality
由: Modaresi, Sina, et al.
出版: (2017)

Solutions to a partial integro-differential parabolic system arising in the pricing of financial options in regime-switching jump diffusion models
由: Ionut Florescu, et al.
出版: (2012-12-01)