Markovian Nash equilibrium in financial markets with asymmetric information and related forward-backward systems

DOI10.1214/15-AAP1138zbMath1353.91050arXiv1407.2420OpenAlexW1829284406MaRDI QIDQ341595

Umut Çetin, Albina Danilova

Publication date: 16 November 2016

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.2420

zbMATH Keywords

partial differential equationsKyle modelforward-backward stochastic differential equationsMarkov bridgesBertrand competitionMarkovian Nash equilibriumrisk averse market makers

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) General equilibrium theory (91B50) Economics of information (91B44)

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