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UID:20260808T213150EDT-1983DXh6vP@132.216.98.100
DTSTAMP:20260809T013150Z
DESCRIPTION:Equilibria in Incomplete Continuous-Time Financial Markets and 
 Systems of BSDEs.\n\nThe problem of existence of equilibrium prices in inc
 omplete continuous-time financial markets has proved to be one of the most
  stubborn open problems in financial economics and mathematical finance. W
 hile the complete case was settled 30 years ago in the work of Duffie\, Za
 me\, Karatzas\, Shreve and Lehoczky and others\, very little is known abou
 t what happens when no completeness assumptions are made.\n	A new approach 
 to this problem - and its positive resolution - in the special case when a
 ll agents have exponential utility functions will be presented. It is base
 d on systems of quadratic backward stochastic differential equations (BSDE
 s) and provides a general existence result for a class of such equations u
 nder structural conditions. It is interesting that very similar conditions
  appear in completely different contexts - e.g.\, when one tries to constr
 uct martingales on Riemannian manifolds or find Nash points of non-zero-su
 m stochastic games. Joint work with Hao Xing (London School of Economics).
 \n
DTSTART:20170421T183000Z
DTEND:20170421T193000Z
LOCATION:LB-921-4\, CA\, Library Building Concordia\, CA\, QC\, Montreal\, 
 1400 de Maisonneuve West
SUMMARY:Gordon Zitkovic\, University of Texas at Austin
URL:/channels/event/gordon-zitkovic-university-texas-a
 ustin-267649
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