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A class of globally solvable Markovian quadratic BSDE systems and applications

Citations

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Cited by:

  1. 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.
  2. Jin Hyuk Choi & Kim Weston, 2021. "Endogenous noise trackers in a Radner equilibrium," Papers 2108.00973, arXiv.org, revised Jun 2022.
  3. Masaaki Fujii & Akihiko Takahashi, 2022. "Equilibrium Price Formation with a Major Player and its Mean Field Limit (Forthcoming in ESAIM: Control, Optimization and Calculus of Variations)(Revised version of CARF-F-509)," CARF F-Series CARF-F-533, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  4. Said Hamadène & Rui Mu, 2021. "Risk-Sensitive Nonzero-Sum Stochastic Differential Game with Unbounded Coefficients," Dynamic Games and Applications, Springer, vol. 11(1), pages 84-108, March.
  5. Masaaki Fujii & Akihiko Takahashi, 2021. "Equilibrium Price Formation with a Major Player and its Mean Field Limit," CARF F-Series CARF-F-509, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  6. Yuyang Chen & Peng Luo, 2023. "Existence and Uniqueness of Solutions for Multi-dimensional Reflected Backward Stochastic Differential Equations with Diagonally Quadratic Generators," Journal of Theoretical Probability, Springer, vol. 36(3), pages 1698-1719, September.
  7. Hao, Tao & Wen, Jiaqiang & Xiong, Jie, 2022. "Solvability of a class of mean-field BSDEs with quadratic growth," Statistics & Probability Letters, Elsevier, vol. 191(C).
  8. Hu, Ying & Tang, Shanjian & Wang, Falei, 2022. "Quadratic G-BSDEs with convex generators and unbounded terminal conditions," Stochastic Processes and their Applications, Elsevier, vol. 153(C), pages 363-390.
  9. Masaaki Fujii & Akihiko Takahashi, 2020. "A Finite Agent Equilibrium in an Incomplete Market and its Strong Convergence to the Mean-Field Limit," CARF F-Series CARF-F-495, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  10. Masaaki Fujii & Akihiko Takahashi, 2021. "``Equilibrium Price Formation with a Major Player and its Mean Field Limit''," CIRJE F-Series CIRJE-F-1162, CIRJE, Faculty of Economics, University of Tokyo.
  11. Masaaki Fujii & Akihiko Takahashi, 2020. "A Finite Agent Equilibrium in an Incomplete Market and its Strong Convergence to the Mean-Field Limit," CIRJE F-Series CIRJE-F-1156, CIRJE, Faculty of Economics, University of Tokyo.
  12. Camilo Hern'andez & Dylan Possamai, 2020. "Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents," Papers 2002.12572, arXiv.org, revised Jul 2021.
  13. 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.
  14. Kim Weston & Gordan Žitković, 2020. "An incomplete equilibrium with a stochastic annuity," Finance and Stochastics, Springer, vol. 24(2), pages 359-382, April.
  15. 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.
  16. Jackson, Joe & Žitković, Gordan, 2022. "A characterization of solutions of quadratic BSDEs and a new approach to existence," Stochastic Processes and their Applications, Elsevier, vol. 147(C), pages 210-225.
  17. Dejian Tian, 2022. "Pricing principle via Tsallis relative entropy in incomplete market," Papers 2201.05316, arXiv.org, revised Oct 2022.
  18. Kim Weston, 2022. "Existence of an equilibrium with limited participation," Papers 2206.12399, arXiv.org.
  19. Masaaki Fujii & Akihiko Takahashi, 2021. "Strong Convergence to the Mean-Field Limit of A Finite Agent Equilibrium," CIRJE F-Series CIRJE-F-1180, CIRJE, Faculty of Economics, University of Tokyo.
  20. Masaaki Fujii & Akihiko Takahashi, 2021. "Equilibrium Price Formation with a Major Player and its Mean Field Limit," Papers 2102.10756, arXiv.org, revised Feb 2022.
  21. Nam, Kihun, 2021. "Locally Lipschitz BSDE driven by a continuous martingale a path-derivative approach," Stochastic Processes and their Applications, Elsevier, vol. 141(C), pages 376-411.
  22. Lukas Gonon & Johannes Muhle‐Karbe & Xiaofei Shi, 2021. "Asset pricing with general transaction costs: Theory and numerics," Mathematical Finance, Wiley Blackwell, vol. 31(2), pages 595-648, April.
  23. Romuald Elie & Thibaut Mastrolia & Dylan Possamaï, 2019. "A Tale of a Principal and Many, Many Agents," Mathematics of Operations Research, INFORMS, vol. 44(2), pages 440-467, May.
  24. Alessandro Prosperi, 2022. "A partial stochastic equilibrium model and its limiting behaviour," Papers 2211.17231, arXiv.org.
  25. Kihun Nam, 2019. "Global Well-posedness of Non-Markovian Multidimensional Superquadratic BSDE," Papers 1912.03692, arXiv.org, revised Jan 2022.
  26. Masaaki Fujii & Akihiko Takahashi, 2020. "Strong Convergence to the Mean-Field Limit of A Finite Agent Equilibrium," Papers 2010.09186, arXiv.org, revised Dec 2021.
  27. Jackson, Joe, 2023. "The reverse Hölder inequality for matrix-valued stochastic exponentials and applications to quadratic BSDE systems," Stochastic Processes and their Applications, Elsevier, vol. 160(C), pages 1-32.
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