Existence and uniqueness of a steady state for an OTC market with several assets.

Autor: Bélanger, Alain, Ndouné, Ndouné
Zdroj: Mathematics & Financial Economics; Sep2016, Vol. 10 Issue 4, p495-503, 9p
Abstrakt: We introduce and study a class of over-the-counter market models specified by systems of Ordinary Differential Equations (ODE's), in the spirit of Duffie-Gârleanu-Pedersen Duffie et al. (Econometrica 73(1):1815-1847, 2005). The key innovation is allowing for multiple assets. We show the existence and uniqueness of a steady state for these ODE's. [ABSTRACT FROM AUTHOR]
Databáze: Complementary Index
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