An FBSDE approach to market impact games with stochastic parameters

DOI10.3934/puqr.2021012zbMath1492.91141arXiv2001.00622OpenAlexW3204570340MaRDI QIDQ2671645

Samuel Drapeau, Peng Luo, Dewen Xiong, Alexander Schied

Publication date: 3 June 2022

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2001.00622

zbMATH Keywords

Nash equilibriumFBSDEmarket impact game

Mathematics Subject Classification ID

Applications of game theory (91A80) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Auctions, bargaining, bidding and selling, and other market models (91B26)

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