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Existence and uniqueness of a steady state for an OTC market with several assets

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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-Gârleanu-Pedersen Duffie et al. (Econometrica 73(1):1815–1847, 2005). 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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Acknowledgments

This research is supported in part by a team grant from Fonds de Recherche du Québec—Nature et Technologies (FRQNT Grant No. 180362).

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  1. Faculté d’administration, Université de Sherbrooke, Québec, J1K2R1, Canada

    Alain Bélanger & Ndouné Ndouné

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  1. Alain Bélanger
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  2. Ndouné Ndouné
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Correspondence to Alain Bélanger.

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Bélanger, A., Ndouné, N. Existence and uniqueness of a steady state for an OTC market with several assets. Math Finan Econ 10, 495–503 (2016). https://doi.org/10.1007/s11579-016-0167-7

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  • DOI: https://doi.org/10.1007/s11579-016-0167-7

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