论文标题
证券在合作和非合作人口的共同存在中的均衡定价
Equilibrium pricing of securities in the co-presence of cooperative and non-cooperative populations
论文作者
论文摘要
在这项工作中，我们在由两个不同类型的人群组成的市场中开发了一个均衡模型：第一个人群由合作社组成，而另一个由非合作代理组成。假定每个合作成员的交易是由中央计划者协调的。在较大的人口限制中，中央规划师的问题被证明是有条件的均值均值控制。除了凸度假设外，如果合作人口的相对大小足够小，那么我们能够显示出有限代理和均值场模型的独特平衡。在相同条件下，也证明了向平均场模型的强收敛。
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 assumed to be coordinated by a central planner. In the large population limit, the problem for the central planner is shown to be a conditional extended mean-field control. In addition to the convexity assumptions, if the relative size of the cooperative population is small enough, then we are able to show the existence of a unique equilibrium for both the finite-agent and the mean-field models. The strong convergence to the mean-field model is also proved under the same conditions.
