A system of quadratic BSDEs arising in a price impact model

The Annals of Applied Probability 2016 / 04 Vol. 26; Iss. 2

A system of quadratic BSDEs arising in a price impact model

Kramkov, Dmitry, Pulido, Sergio
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Volume:
26
Language:
english
Journal:
The Annals of Applied Probability
DOI:
10.1214/15-AAP1103
Date:
April, 2016
File:
PDF, 208 KB
english, 2016
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