Stochastic differential game in high frequency market

DOI10.1016/j.automatica.2019.02.051zbMath1411.91061OpenAlexW2920859411MaRDI QIDQ1737914

Taiga Saito, Akihiko Takahashi

Publication date: 24 April 2019

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2019.02.051

zbMATH Keywords

differential gamesstochastic controlNash equilibriumforward-backward stochastic differential equationsapplication in financehigh frequency market

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Differential games (aspects of game theory) (91A23) Stochastic games, stochastic differential games (91A15) Actuarial science and mathematical finance (91G99)

Related Items (5)

Equilibrium pairs trading under delayed cointegration ⋮ Relative performance evaluation for dynamic contracts in a large competitive market ⋮ Dynamic trading with Markov liquidity switching ⋮ Strategic trading with information acquisition and long-memory stochastic liquidity ⋮ Optimal portfolio execution problem with stochastic price impact

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