Existence and Uniqueness of a Steady State for an OTC Market with Several Assets

Abstract

We introduce and study a class of over-the-counter market models specified by systems of Ordinary Differential Equations (ODE's), in the spirit of Duffie- G^arleanu-Pedersen [6]. The key innovation is allowing for multiple assets. We show the existence and uniqueness of a steady state for these ODE's.

arXiv comment11 pages, 1 figure. arXiv admin note: text overlap with arXiv:1308.2957

References in corpus (1)

• Over-the-counter market models with several assets