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A financial market with interacting investors: does an equilibrium exist? · Study

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ArticleA financial market with interacting investors: does an equilibrium exist?

Christoph Frei2011

Article2011

A financial market with interacting investors: does an equilibrium exist?

Christoph Frei · Gonçalo dos Reis

78 citations·0/0 files stored·Mathematics and Financial Economics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

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References

1975Reexamination of the perfectness concept for equilibrium points in extensive games 1990Adapted solution of a backward stochastic differential equation 2009Multiagent systems: algorithmic, game-theoretic, and logical foundations 2000Backward stochastic differential equations and partial differential equations with quadratic growth 2005Utility maximization in incomplete markets 1994Continuous Exponential Martingales and BMO 1980Collusive behavior in noncooperative epsilon-equilibria of oligopolies with long but finite lives 2007Quadratic BSDEs with convex generators and unbounded terminal conditions

Cited by

2018A class of globally solvable Markovian quadratic BSDE systems and applications 2020Many-player games of optimal consumption and investment under relative performance criteria 2015Multidimensional quadratic and subquadratic BSDEs with special structure 2019Contracting Theory with Competitive Interacting Agents 2018Existence and uniqueness results for BSDE with jumps: the whole nine yards

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Year2011

Typearticle

Published2011-02-25

VenueMathematics and Financial Economics

ISSN-L1862-9660

Languageen

Citations78

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s11579-011-0039-0

openalex_workW2146284189

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2016

A system of quadratic BSDEs arising in a price impact model

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