Mean field game of controls and an application to trade crowding
Pierre Cardaliaguet, Charles-Albert Lehalle
| Year of publication: |
June 2018
|
|---|---|
| Authors: | Cardaliaguet, Pierre ; Lehalle, Charles-Albert |
| Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 12.2018, 3, p. 335-363
|
| Subject: | Mean field games | Market microstructure | Crowding | Optimal liquidation | Optimal trading | Optimal stochastic control | Marktmikrostruktur | Kontrolltheorie | Control theory | Portfolio-Management | Portfolio selection | Spieltheorie | Game theory | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11579-017-0206-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011963860