Stochastic differential game in high frequency market
type: Item
instance of: scholarly article
title: Stochastic differential game in high frequency market
zbMATH Open document ID: 1411.91061
author: Taiga Saito
author: Akihiko Takahashi
published in: Automatica
publication date: 2019-04-24T00:00:00Z
Mathematics Subject Classification ID: 91A15
Mathematics Subject Classification ID: 91A23
Mathematics Subject Classification ID: 91G99
Mathematics Subject Classification ID: 60H10
zbMATH DE Number: 7047245
zbMATH Keywords: differential games
zbMATH Keywords: forward-backward stochastic differential equations
zbMATH Keywords: Nash equilibrium
zbMATH Keywords: stochastic control
zbMATH Keywords: application in finance
zbMATH Keywords: high frequency market
MaRDI profile type: Publication
full work available at URL: j.automatica.2019.02.051
OpenAlex ID: W2920859411
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DOI: 10.1016/J.AUTOMATICA.2019.02.051
description: scientific article; zbMATH DE number 7047245