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Finding local equilbria by splitting multidimensional BSDEs Frei, Christoph
Description
We consider a model of a financial market where investors take not only their own absolute performance, but also the relative performance compared to their peers into account. The goal is to find equilibria where every investor has an individually optimal strategy. This problem is related to the study of multidimensional backward stochastic differential equations (BSDEs). We introduce a new notion of local solution by splitting multidimensional BSDEs over time. This allows us to show that the BSDE from our financial problem is locally but not globally solvable. From this, we deduce that there exist local but no global equilibria in our model of a financial market. By considering the relative performance, investors may ruin each other so that equilibria exist only over a short time.
Item Metadata
Title |
Finding local equilbria by splitting multidimensional BSDEs
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Creator | |
Publisher |
Banff International Research Station for Mathematical Innovation and Discovery
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Date Issued |
2014-05-12
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Description |
We consider a model of a financial market where investors take not only their own absolute performance, but also the relative performance compared to their peers into account. The goal is to find equilibria where every investor has an individually optimal strategy. This problem is related to the study of multidimensional backward stochastic differential equations (BSDEs). We introduce a new notion of local solution by splitting multidimensional BSDEs over time. This allows us to show that the BSDE from our financial problem is locally but not globally solvable. From this, we deduce that there exist local but no global equilibria in our model of a financial market. By considering the relative performance, investors may ruin each other so that equilibria exist only over a short time.
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Extent |
40 minutes
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Type | |
File Format |
video/mp4
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Language |
eng
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Notes |
Author affiliation: University of Alberta
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Series | |
Date Available |
2014-10-28
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Provider |
Vancouver : University of British Columbia Library
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Rights |
Attribution-NonCommercial-NoDerivs 2.5 Canada
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DOI |
10.14288/1.0044146
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URI | |
Affiliation | |
Peer Review Status |
Unreviewed
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Scholarly Level |
Faculty
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Rights URI | |
Aggregated Source Repository |
DSpace
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Item Citations and Data
Rights
Attribution-NonCommercial-NoDerivs 2.5 Canada