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

Dmitry KramkovSergio Pulido
Published in: SIAM J. Financial Math. (2016)
Keyphrases
  • probabilistic model
  • multiscale
  • objective function
  • special case
  • em algorithm
  • mathematical model
  • closed form
  • maximum entropy