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UID:20250717T000725EDT-76249XtMkH@132.216.98.100
DTSTAMP:20250717T040725Z
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	\n	A new approac
 h to this problem - and its positive resolution - in the special case when
  all agents have exponential utility functions will be presented. It is ba
 sed on systems of quadratic backward stochastic differential equations (BS
 DEs) and provides a general existence result for a class of such equations
  under structural conditions. It is interesting that very similar conditio
 ns appear in completely different contexts - e.g.\, when one tries to cons
 truct martingales on Riemannian manifolds or find Nash points of non-zero-
 sum stochastic games. Joint work with Hao Xing (London School of Economics
 ).\n
DTSTART:20170421T183000Z
DTEND:20170421T193000Z
LOCATION:LB-921-4\, CA\, QC\, Montreal\, H3G 1M8\, Library Building Concord
 ia\, 1400 de Maisonneuve West
SUMMARY:Gordon Zitkovic\, University of Texas at Austin
URL:/mathstat/channels/event/gordon-zitkovic-universit
 y-texas-austin-267649
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