Discussion Papers 2022
CIRJE-F-1201 | "Equilibrium Pricing of Securities in the Co-presence of Cooperative and Non-cooperative Populations" |
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Author Name | Fujii, Masaaki |
Date | September 2022 |
Full Paper | PDF file |
Remarks | Revised in June 2023; forthcoming in ESAIM: Control, Optimisation and Calculus of Variations. |
Abstract |
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In this work, we develop an equilibrium model for price formation of securities in a market composed of two populations of different types: the first one consists of cooperative agents, while the other one consists of non-cooperative agents. The trading of every cooperative member is |
Keywords: market clearing, mean-eld games, extended mean-eld control, controlled-FBSDEs |