Title	Finding local equilbria by splitting multidimensional BSDEs
Creator	Frei, Christoph
Publisher	Banff International Research Station for Mathematical Innovation and Discovery
Date Issued	2014-05-12
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.
Extent	40 minutes
Subject	Mathematics; Game theory, economics, social and behavioral sciences; Probability theory and stochastic processes; Mathematical finance
Type	Moving Image
File Format	video/mp4
Language	eng
Notes	Author affiliation: University of Alberta
Series	BIRS Workshop Lecture Videos (Banff, Alta)
Date Available	2014-10-28
Provider	Vancouver : University of British Columbia Library
Rights	Attribution-NonCommercial-NoDerivs 2.5 Canada
DOI	10.14288/1.0044146
URI	http://hdl.handle.net/2429/50895
Affiliation	Non UBC
Peer Review Status	Unreviewed
Scholarly Level	Faculty
Rights URI	http://creativecommons.org/licenses/by-nc-nd/2.5/ca/
Aggregated Source Repository	DSpace

Open Collections

BIRS Workshop Lecture Videos

Finding local equilbria by splitting multidimensional BSDEs Frei, Christoph

Description

Item Metadata

Item Media

Item Citations and Data

Rights