Closed‐loop Nash competition for liquidity

DOI10.1111/MAFI.12409arXiv2112.02961OpenAlexW4383737817MaRDI QIDQ6187366

Unnamed Author, Eyal Neuman, Johannes Muhle-Karbe

Publication date: 31 January 2024

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

Full work available at URL: https://arxiv.org/abs/2112.02961

zbMATH Keywords

stochastic gamesprice impactclosed-loop Nash equilibrium

Mathematics Subject Classification ID

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

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