Numerical study of the stock market crises based on mean field games approach

DOI10.1515/jiip-2020-0016zbMath1480.91320OpenAlexW3121092002MaRDI QIDQ2066941

N. V. Trusov

Publication date: 17 January 2022

Published in: Journal of Inverse and Ill-Posed Problems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/jiip-2020-0016

zbMATH Keywords

numerical solutionill-posednessmean field gamestrading execution modelturnpike effect

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of game theory (91A80) Optimal stochastic control (93E20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Mean field games (aspects of game theory) (91A16) Financial markets (91G15)

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Identification of the household behavior modeling based on modified Ramsey model ⋮ On one inverse problem for the Kolmogorov-Fokker-Planck equation ⋮ The mean field games system: Carleman estimates, Lipschitz stability and uniqueness ⋮ The group behaviour modelling of workers in the labor market ⋮ On the mean field games system with lateral Cauchy data via Carleman estimates ⋮ A coefficient inverse problem for the mean field games system ⋮ Hölder stability and uniqueness for the mean field games system via Carleman estimates

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