Optimal Execution with Identity Optionality

DOI10.1080/1350486X.2023.2193343zbMath1511.91142arXiv2210.04167OpenAlexW4362735410MaRDI QIDQ6040001

René A. Carmona, Unnamed Author

Publication date: 24 May 2023

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2210.04167

zbMATH Keywords

optimal executionmean field gameconditional propagation of chaosanonymous trading

Mathematics Subject Classification ID

Applications of game theory (91A80) Stochastic games, stochastic differential games (91A15) Mean field games (aspects of game theory) (91A16) Financial markets (91G15)

Cites Work

• Unnamed Item
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• A probabilistic weak formulation of mean field games and applications
• Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
• No-dynamic-arbitrage and market impact
• Probabilistic Theory of Mean Field Games with Applications I

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