相关论文: Markovian Nash equilibrium in financial markets wi…
We consider a market impact game for $n$ risk-averse agents that are competing in a market model with linear transient price impact and additional transaction costs. For both finite and infinite time horizons, the agents aim to minimize a…
Standard Markovian optimal stopping problems are consistent in the sense that the first entrance time into the stopping set is optimal for each initial state of the process. Clearly, the usual concept of optimality cannot in a…
This paper focuses on a kind of linear quadratic non-zero sum differential game driven by backward stochastic differential equation with asymmetric information, which is a natural continuation of Wang and Yu [IEEE TAC (2010) 55: 1742-1747,…
In this paper, we consider discrete-time dynamic games of the mean-field type with a finite number $N$ of agents subject to an infinite-horizon discounted-cost optimality criterion. The state space of each agent is a locally compact Polish…
We prove existence and uniqueness of stochastic equilibria in a class of incomplete continuous-time financial environments where the market participants are exponential utility maximizers with heterogeneous risk-aversion coefficients and…
We investigate Nash equilibrium learning in a competitive Markov Game (MG) environment, where multiple agents compete, and multiple Nash equilibria can exist. In particular, for an oligopolistic dynamic pricing environment, exact Nash…
We analyze a market impact game between $n$ risk averse agents who compete for liquidity in a market impact model with permanent price impact and additional slippage. Most market parameters, including volatility and drift, are allowed to…
We study the perfect information Nash equilibrium between a broker and her clients -- an informed trader and an uniformed trader. In our model, the broker trades in the lit exchange where trades have instantaneous and transient price impact…
This paper studies the equilibrium pricing of asset shares in the presence of dynamic private information. The market consists of a risk-neutral informed agent who observes the firm value, noise traders, and competitive market makers who…
Even when confronted with the same data, agents often disagree on a model of the real-world. Here, we address the question of how interacting heterogenous agents, who disagree on what model the real-world follows, optimize their trading…
A model of stochastic games where multiple controllers jointly control the evolution of the state of a dynamic system but have access to different information about the state and action processes is considered. The asymmetry of information…
This article is related to risk-sensitive nonzero-sum stochastic differential games in the Markovian framework. This game takes into account the attitudes of the players toward risk and the utility is of exponential form. We show the…
This paper is related to nonzero-sum stochastic differential games in the Markovian framework. We show existence of a Nash equilibrium point for the game when the drift is no longer bounded and only satisfies a linear growth condition. The…
Focusing on gains & losses relative to a risk-free benchmark instead of terminal wealth, we consider an asset allocation problem to maximize time-consistently a mean-risk reward function with a general risk measure which is i)…
We study partial information Nash equilibrium between a broker and an informed trader. In this setting, the informed trader, who possesses knowledge of a trading signal, trades multiple assets with the broker in a dealer market.…
We develop a probabilistic approach to continuous-time finite state mean field games. Based on an alternative description of continuous-time Markov chain by means of semimartingale and the weak formulation of stochastic optimal control, our…
In this paper, we study the Nash dynamics of strategic interplays of n buyers in a matching market setup by a seller, the market maker. Taking the standard market equilibrium approach, upon receiving submitted bid vectors from the buyers,…
In this paper, we study a nonzero-sum stochastic differential game in Markovian framework. We show the existence of the Nash equilibrium point which is discontinuous and of bang-bang type under natural conditions. The main tool is the…
We propose a stochastic game modelling the strategic interaction between market makers and traders of optimal execution type. For traders, the permanent price impact commonly attributed to them is replaced by quoting strategies implemented…
We consider a class of two-player dynamic stochastic nonzero-sum games where the state transition and observation equations are linear, and the primitive random variables are Gaussian. Each controller acquires possibly different dynamic…