A bidding game with heterogeneous players

DOI10.1007/S10957-014-0551-5zbMath1307.91085OpenAlexW2020979913WikidataQ59263859 ScholiaQ59263859MaRDI QIDQ481066

Deling Wei, Alberto Bressan

Publication date: 12 December 2014

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-014-0551-5

zbMATH Keywords

optimality conditionsNash equilibriumlimit order bookdiscontinuous ODEbidding gameoptimal pricing strategy

Mathematics Subject Classification ID

Noncooperative games (91A10) Games with infinitely many players (91A07) Other game-theoretic models (91A40) 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 (1)

A dynamic model of the limit order book

Cites Work

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• Noncooperative differential games
• Strategic Liquidity Provision in Limit Order Markets
• A Bidding Game in a Continuum Limit Order Book
• Discrete Bidding Strategies for a Random Incoming Order
• Optimal Execution in a General One-Sided Limit-Order Book
• A Stochastic Model for Order Book Dynamics

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