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An FBSDE approach to market impact games with stochastic parameters - MaRDI portal

An FBSDE approach to market impact games with stochastic parameters (Q2671645)

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An FBSDE approach to market impact games with stochastic parameters
scientific article

    Statements

    title
    An FBSDE approach to market impact games with stochastic parameters (English)
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    author
    Samuel Drapeau
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    Peng Luo
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    Dewen Xiong
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    Alexander Schied
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    publication date
    3 June 2022
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    zbMATH Keywords
    market impact game
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    Nash equilibrium
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    FBSDE
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    cites work
    Q4255599
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    Identifiers

    Mathematics Subject Classification ID
    91B26
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    91A80
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    93E20
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    60H30
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    zbMATH DE Number
    7537227
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    OpenAlex ID
    W3204570340
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    arXiv ID
    2001.00622
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    DOI
    10.3934/PUQR.2021012
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