Showing 1 - 10 of 141
Persistent link: https://www.econbiz.de/10015197927
Persistent link: https://www.econbiz.de/10012796639
Persistent link: https://www.econbiz.de/10015149374
We analyze novel portfolio liquidation games with self-exciting order flow. Both the N-player game and the mean-field game are considered. We assume that players' trading activities have an impact on the dynamics of future market order arrivals thereby generating an additional transient price...
Persistent link: https://www.econbiz.de/10013193885
Persistent link: https://www.econbiz.de/10013463387
This paper establishes the existence of relaxed solutions to mean eld games (MFGs for short) with singular controls. As a by-product, we obtain an existence of relaxed solutions results for McKean-Vlasov stochastic singular control problems. Finally, we prove approximations of solutions results...
Persistent link: https://www.econbiz.de/10011626609
Persistent link: https://www.econbiz.de/10014226253
Persistent link: https://www.econbiz.de/10013489591
Persistent link: https://www.econbiz.de/10015189200
Persistent link: https://www.econbiz.de/10015189208