Discrete Bidding Strategies for a Random Incoming Order

DOI10.1137/130917685zbMath1344.49026OpenAlexW2033003968WikidataQ59263868 ScholiaQ59263868MaRDI QIDQ2940752

Giancarlo Facchi, Alberto Bressan

Publication date: 20 January 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/130917685

zbMATH Keywords

optimality conditionsNash equilibriumlimit order bookbidding gameoptimal pricing strategymeasure-valued optimizationrandom incoming order

Mathematics Subject Classification ID

(n)-person games, (n>2) (91A06) Games with infinitely many players (91A07) Auctions, bargaining, bidding and selling, and other market models (91B26) Applications of operator theory in systems, signals, circuits, and control theory (47N70) Optimality conditions for problems involving randomness (49K45) Probabilistic games; gambling (91A60) Existence of optimal solutions to problems involving randomness (49J55) Optimality conditions for problems involving relations other than differential equations (49K21) Existence theories for optimal control problems involving relations other than differential equations (49J21)

Related Items (3)

High-Frequency Limit of Nash Equilibria in a Market Impact Game with Transient Price Impact ⋮ A bidding game with heterogeneous players ⋮ A dynamic model of the limit order book

This page was built for publication: Discrete Bidding Strategies for a Random Incoming Order