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Second Order BSDEs with Jumps, Part II: Existence and Applications
Second order backward stochastic differential equation backward stochas-tic differential equation with jumps
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2012/9/14
In this paper, we follow the study of second order BSDEs with jumps started in our accompanying paper [17]. We prove existence of these equations bya direct method,thus providing complete wellposednes...
Existence of Financial Equilibria in Continuous Time with Potentially Complete Markets
Potentially complete market Continuous-time financial market Radner equilibrium It坥 diffusion
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2012/9/14
We prove that in smooth Markovian continuous杢ime economies with potentially complete asset markets, Radner equilibria with endoge-nously complete markets exist.
Non-existence of Markovian time dynamics for graphical models of correlated default
Markovian time dynamics graphical models correlated default
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2010/10/21
Filiz et al. (2008) proposed a model for the pattern of defaults seen among a group of firms at the end of a given time period. The ingredients in the model are a graph, where the vertices correspond...
On a class of semi-elliptic diffusion models. Part I: a constructive analytical approach for global existence, densities, and numerical schemes
Degenerate parabolic equations financial derivatives
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2010/10/18
Semi-elliptic stochastic differential equations (SDEs) are common models among practitioners. However, value functions and sensitivities of such models are described by degenerate parabolic partial d...
Partial Equilibria with Convex Capital Requirements: Existence, Uniqueness and Stability
acceptance sets convex capital requirements incomplete markets mutually agreeable claims partial equilibrium allocation
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2010/10/29
In an incomplete semimartingale model of a financial market, we consider several risk-averse financial agents who negotiate the price of a bundle of contingent claims. Assuming that the agents’ risk p...
Existence & Regularity of Weak Solutions of Degenerate Parabolic PDE Models for the Pricing of Security Derivatives
Existence Regularity Weak Solutions Security Derivatives
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2010/10/29
This work is focused on the solvability of initial-boundary value problems for degenerate parabolic partial differential equations that arise in the pricing of Asian options, and
on the investigation...
A mathematical proof of the existence of trends in financial time series
Financial time series mathematical finance technical analysis trends
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2010/10/29
We are settling a longstanding quarrel in quantitative finance by proving the existence of trends in financial time series thanks to a theorem due to P. Cartier and Y. Perrin, which is expressed in th...
The Existence of Equilibria in Discontinuous and Nonconvex Games
Nash equilibrium dominant strategy equilibrium discontinuity nonquasiconcavity nonconvexity
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2010/7/2
This paper investigates the existence of pure strategy, dominant-strategy, and mixed strategy Nash equilibria in discontinuous and nonconvex games. We introduce a new notion of very weak continuity, c...
Existence of Equilibrium in Minimax Inequalities, Saddle Points, Fixed Points, and Games without Convexity Sets
minimax inequality saddle points fixed points coincidence points discontinuity non-quasiconcavity non-convexity non-compactness
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2010/7/2
This paper characterizes the existence of equilibria in minimax inequalities without assuming any form of quasi-concavity of functions and convexity or compactness of choice sets. A new condition, cal...
2005年第14讲(总第450讲)
Equivalence between the Existence Theorems on Nash Equilibrium,Core and Hybrid Equilibrium
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2007/8/13
主讲人
Zhao Jingang 教授
加拿大University of Saskatchewan
题目
Equivalence between the Existence Theorems on Nash Equilibrium, Core and Hybrid Equilibrium
时间
2005年5月18日（星期三）下午2:00-3:30
地点
北京大学中国经济研究中心万众楼小教室
工作语...