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A system of quadratic BSDEs arising in a price impact model

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Cited by:

  1. Zongxia Liang & Jianming Xia & Fengyi Yuan, 2023. "Dynamic portfolio selection for nonlinear law-dependent preferences," Papers 2311.06745, arXiv.org, revised Nov 2023.
  2. Martin Herdegen & Johannes Muhle-Karbe & Dylan Possamaï, 2021. "Equilibrium asset pricing with transaction costs," Finance and Stochastics, Springer, vol. 25(2), pages 231-275, April.
  3. Dmitry Kramkov & Sergio Pulido, 2019. "Density of the set of probability measures with the martingale representation property," Post-Print hal-01598651, HAL.
  4. Ying Hu & Gechun Liang & Shanjian Tang, 2018. "Systems of ergodic BSDEs arising in regime switching forward performance processes," Papers 1807.01816, arXiv.org, revised Jun 2020.
  5. Luis Escauriaza & Daniel C. Schwarz & Hao Xing, 2020. "Radner equilibrium and systems of quadratic BSDEs with discontinuous generators," Papers 2008.03500, arXiv.org, revised May 2021.
  6. Dmitry Kramkov & Sergio Pulido, 2014. "Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model," Papers 1410.6144, arXiv.org, revised Aug 2016.
  7. Peter Bank & Ibrahim Ekren & Johannes Muhle-Karbe, 2018. "Liquidity in Competitive Dealer Markets," Papers 1807.08278, arXiv.org, revised Mar 2021.
  8. Jana Bielagk & Arnaud Lionnet & Goncalo Dos Reis, 2015. "Equilibrium pricing under relative performance concerns," Papers 1511.04218, arXiv.org, revised Feb 2017.
  9. Peter Bank & Ibrahim Ekren & Johannes Muhle‐Karbe, 2021. "Liquidity in competitive dealer markets," Mathematical Finance, Wiley Blackwell, vol. 31(3), pages 827-856, July.
  10. Dmitry Kramkov & Sergio Pulido, 2016. "Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model," Working Papers hal-01181147, HAL.
  11. Kim Weston, 2022. "Existence of an equilibrium with limited participation," Papers 2206.12399, arXiv.org.
  12. Jarrow, Robert & Li, Siguang, 2021. "Endogenous liquidity risk and dealer market structure," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 449-453.
  13. Dmitry Kramkov & Sergio Pulido, 2017. "Density of the set of probability measures with the martingale representation property," Working Papers hal-01598651, HAL.
  14. Hu, Ying & Tang, Shanjian, 2016. "Multi-dimensional backward stochastic differential equations of diagonally quadratic generators," Stochastic Processes and their Applications, Elsevier, vol. 126(4), pages 1066-1086.
  15. Guanxing Fu & Xizhi Su & Chao Zhou, 2020. "Mean Field Exponential Utility Game: A Probabilistic Approach," Papers 2006.07684, arXiv.org, revised Jul 2020.
  16. Kim Weston, 2024. "Existence of an equilibrium with limited participation," Finance and Stochastics, Springer, vol. 28(2), pages 329-361, April.
  17. Ying Hu & Xiaomin Shi & Zuo Quan Xu, 2022. "Optimal consumption-investment with coupled constraints on consumption and investment strategies in a regime switching market with random coefficients," Papers 2211.05291, arXiv.org.
  18. Michail Anthropelos & Scott Robertson & Konstantinos Spiliopoulos, 2021. "Optimal investment, derivative demand, and arbitrage under price impact," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 3-35, January.
  19. Dmitry Kramkov & Sergio Pulido, 2017. "Density of the set of probability measures with the martingale representation property," Papers 1709.07329, arXiv.org, revised Jul 2019.
  20. Jana Bielagk & Arnaud Lionnet & Gonçalo dos Reis, 2015. "Equilibrium pricing under relative performance concerns," Working Papers hal-01245812, HAL.
  21. Hernández, Camilo, 2023. "On quadratic multidimensional type-I BSVIEs, infinite families of BSDEs and their applications," Stochastic Processes and their Applications, Elsevier, vol. 162(C), pages 249-298.
  22. Antonis Papapantoleon & Dylan Possamai & Alexandros Saplaouras, 2016. "Existence and uniqueness results for BSDEs with jumps: the whole nine yards," Papers 1607.04214, arXiv.org, revised Nov 2018.
  23. Martin Herdegen & Johannes Muhle-Karbe & Dylan Possamai, 2019. "Equilibrium Asset Pricing with Transaction Costs," Papers 1901.10989, arXiv.org, revised Sep 2020.
  24. Dmitry Kramkov & Sergio Pulido, 2016. "Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model," Post-Print hal-01181147, HAL.
  25. Constantinos Kardaras & Hao Xing & Gordan v{Z}itkovi'c, 2015. "Incomplete stochastic equilibria for dynamic monetary utility," Papers 1505.07224, arXiv.org, revised Feb 2017.
  26. Xing, Hao & Žitković, Gordan, 2018. "A class of globally solvable Markovian quadratic BSDE systems and applications," LSE Research Online Documents on Economics 73440, London School of Economics and Political Science, LSE Library.
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