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

2014/11/28 by Alain Bélanger, Alain Belanger, Belanger, Alain +3
Economics, Econometrics and Finance · #34A34 #60G55 #91B24 #Complex Systems and Time Series Analysis #Economic theories and models #FOS: Economics and business #Mathematical Finance (q-fin.MF) #Stochastic processes and financial applications #msc:34A34 #msc:60G55 #msc:91B24 #q-fin.MF

paper · pdf · doi:10.48550/arxiv.1411.7991

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

openalex publication_date 2014/11/28 · arxiv created 2016/03/03 · arxiv updated 2016/03/04 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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.

Citations

• Over-the-counter market models with several assets
• The exact law of large numbers via Fubini extension and characterization of insurable risks

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