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q-fin.MF2021
Large Platonic Markets with Delays
Yannick Limmer, Thilo Meyer-Brandis
The objective is to develop a general stochastic approach to delays on financial markets. We suggest such a concept in the context of large platonic markets, which allow infinitely…
math.PR2021★ 1 cited
Stability, uniqueness and existence of solutions to McKean-Vlasov SDEs: a multidimensional Yamada-Watanabe approach
Alexander Kalinin, Thilo Meyer-Brandis, Frank Proske
We establish stability and pathwise uniqueness of solutions to Wiener noise driven McKean-Vlasov equations with random non-Lipschitz continuous coefficients. In the deterministic c…