On a stochastic differential equation arising in a price impact model
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References listed on IDEAS
- J. Hugonnier & S. Malamud & E. Trubowitz, 2012.
"Endogenous Completeness of Diffusion Driven Equilibrium Markets,"
Econometric Society, vol. 80(3), pages 1249-1270, May.
- Julien HUGONNIER & Semyon MALAMUD & Eugene TRUBOWITZ, "undated". "Endogenous completeness of diffusion driven equilibrium markets," Swiss Finance Institute Research Paper Series 09-41, Swiss Finance Institute.
- Riedel, Frank & Herzberg, Frederik, 2013.
"Existence of financial equilibria in continuous time with potentially complete markets,"
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Elsevier, vol. 49(5), pages 398-404.
- Frederik Herzberg & Frank Riedel, 2012. "Existence of Financial Equilibria in Continuous Time with Potentially Complete Markets," Papers 1207.2010, arXiv.org.
- Riedel, Frank & Herzberg, Frederik, 2017. "Existence of financial equilibria in continuous time with potentially complete markets," Center for Mathematical Economics Working Papers 443, Center for Mathematical Economics, Bielefeld University.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-11-01 (All new papers)
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