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A system of quadratic BSDEs arising in a price impact model
10 references·5 citing·41 second hop
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this work references cited by second hop

References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1988Liquidity and Market Structure1,532 cited
  • 2005Demand-Based Option Pricing889 cited
  • 2000Backward stochastic differential equations and partial differential equations with quadratic growth763 cited
  • 2005Utility maximization in incomplete markets425 cited
  • 1994Continuous Exponential Martingales and BMO422 cited
  • 2006BSDE with quadratic growth and unbounded terminal value314 cited
  • 2003Necessary and sufficient conditions in the problem of optimal investment in incomplete markets226 cited
  • 2007Solvability of backward stochastic differential equations with quadratic growth186 cited
  • 2011A financial market with interacting investors: does an equilibrium exist?78 cited

Cited by

  • 2017Multidimensional quadratic BSDEs with separated generators26 cited
  • 2017A stability approach for solving multidimensional quadratic BSDES24 cited
  • 2020Systems of Ergodic BSDEs Arising in Regime Switching Forward Performance Processes21 cited
  • 2019Equilibrium Asset Pricing with Transaction Costs20 cited
  • 2018Liquidity in Competitive Dealer Markets

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20 cited