Existence and Uniqueness of a Steady State for an OTC Market with Several Assets
classification
💱 q-fin.MF
keywords
assetsexistencemarketstatesteadyuniquenessallowingarleanu-pedersen
read the original 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.
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