2 papers
q-fin.TR2019
An FBSDE approach to market impact games with stochastic parameters
Samuel Drapeau, Peng Luo, Alexander Schied +1
We analyze a market impact game between risk averse agents who compete for liquidity in a market impact model with permanent price impact and additional slippage. Most market p…
q-fin.MF2017
Characterization of Fully Coupled FBSDE in Terms of Portfolio Optimization
Samuel Drapeau, Peng Luo, Dewen Xiong
We provide a verification and characterization result of optimal maximal sub-solutions of BSDEs in terms of fully coupled forward backward stochastic differential equations. We ill…