相关论文: A system of quadratic BSDEs arising in a price imp…

We consider Backward Stochastic Differential Equations (BSDE) with generators that grow quadratically in the control variable. In a more abstract setting, we first allow both the terminal condition and the generator to depend on a vector…

We present a methodology for representing probabilistic relationships in a general-equilibrium economic model. Specifically, we define a precise mapping from a Bayesian network with binary nodes to a market price system where consumers and…

This paper investigate a class of multi-dimensional backward stochastic differential equations (BSDEs) with singualr generators exhibiting diagonally quadratic growth and unbounded terminal conditions, thereby extending results in the…

We investigate a class of quadratic-exponential growth BSDEs with jumps. The quadratic structure introduced by Barrieu & El Karoui (2013) yields the universal bounds on the possible solutions. With local Lipschitz continuity and the…

We consider a financial market in which traders potentially face restrictions in trading some of the available securities. Traders are heterogeneous with respect to their beliefs and risk profiles, and the market is assumed thin: traders…

This paper includes a proof of well-posedness of an initial-boundary value problem involving a system of degenerate non-local parabolic PDE which naturally arises in the study of derivative pricing in a generalized market model. In a…

There has been much recent interest in two-sided markets and dynamics thereof. In a rather a general discrete-time feedback model, which we show conditions that assure that for each agent, there exists the limit of a long-run average…

In this chapter, an input-output economic model with multiple interactive economic systems is considered. The model captures the multi-dimensional nature of the economic sectors or industries in each economic system, the interdependencies…

We provide an asymptotic expansion of the value function of a multidimensional utility maximization problem from consumption with small non-linear price impact. In our model cross-impacts between assets are allowed. In the limit for small…

We introduce a price impact model which accounts for finite market depth, tightness and resilience. Its coupled bid- and ask-price dynamics induce convex liquidity costs. We provide existence of an optimal solution to the classical problem…

The paper concerns the necessary maximum principle for robust optimal control problems of quadratic BSDEs. The coefficient of the systems depends on the parameter $\theta$, and the generator of BSDEs is of quadratic growth in $z$. Since the…

Our study is dedicated to the probabilistic representation and numerical approximation of solutions to coupled systems of variational inequalities. The dynamics of each component of the solution is driven by a different linear parabolic…

In cryptocurrency markets, a key challenge for perpetual future issuers is maintaining alignment between the perpetual future price and target value. This study addresses this challenge by exploring the relationship between funding rates…

We study multidimensional BSDEs of the form $$ Y_t = \xi + \int_t^T f(s,Y_s,Z_s)ds - \int_t^T Z_s dW_s $$ with bounded terminal conditions $\xi$ and drivers $f$ that grow at most quadratically in $Z_s$. We consider three different cases. In…

In this paper, using the mean-field game theory, we study a problem of equilibrium price formation among many investors with exponential utility in the presence of liabilities unspanned by the security prices. The investors are…

This paper studies a competitive optimal portfolio selection problem in a model where the interest rate, the appreciation rate and volatility rate of the risky asset are all stochastic processes, thus forming a non-Markovian financial…

Bielecki and Rutkowski (2014) introduced and studied a generic nonlinear market model, which includes several risky assets, multiple funding accounts and margin accounts. In this paper, we examine the pricing and hedging of contract both…

We study an optimal investment problem under contagion risk in a financial model subject to multiple jumps and defaults. The global market information is formulated as a progressive enlargement of a default-free Brownian filtration, and the…

We study a large economy in which firms cannot compute exact solutions to the non-linear equations that characterize the equilibrium price at which they can sell future output. Instead, firms use polynomial expansions to approximate prices.…

We study a financial model with a non-trivial price impact effect. In this model we consider the interaction of a large investor trading in an illiquid security, and a market maker who is quoting prices for this security. We assume that the…