Stability and Analytic Expansions of Local Solutions of Systems of Quadratic BSDEs with Applications to a Price Impact Model

Dmitry Kramkov, Sergio Pulido. Stability and Analytic Expansions of Local Solutions of Systems of Quadratic BSDEs with Applications to a Price Impact Model. SIAM J. Financial Math., 7(1):567-587, 2016. [doi]

Authors

Dmitry Kramkov

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Sergio Pulido

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