Splitting multidimensional BSDEs and finding local equilibria

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• 作者：Christoph Frei ; ^{cfrei@ualberta.ca" class="auth_mail}
• 关键词：60H10 ; 91B52 ; 91G80
• 刊名：Stochastic Processes and their Applications
• 出版年：August 2014
• 年：2014
• 卷：124
• 期：8
• 页码：2654-2671
• 全文大小：276 K

文摘

We introduce a new notion of local solution of backward stochastic differential equations (BSDEs) and prove that multidimensional quadratic BSDEs are locally but not globally solvable. Applied in a financial context on optimal investment, our results show that there exist local but no global equilibria when agents take both the absolute and the relative performance compared to their peers into account.