Showing 1 - 10 of 13
Persistent link: https://www.econbiz.de/10001315717
This is the very first comprehensive monograph in a burgeoning, new research area - the theory of cooperative game with incomplete information with emphasis on the solution concept of Bayesian incentive compatible strong equilibrium that encompasses the concept of the Bayesian incentive...
Persistent link: https://www.econbiz.de/10013155999
Persistent link: https://www.econbiz.de/10003333086
Persistent link: https://www.econbiz.de/10003308973
This paper presents an application of a linear quadratic stochastic differential game to a financial model that describes trading behaviors of different types of players in a high frequency stock market. Stability of the stock market in a high frequency environment is a central issue in...
Persistent link: https://www.econbiz.de/10012921752
Persistent link: https://www.econbiz.de/10012888511
We study an equilibrium-based continuous asset pricing problem for the securities market. In the previous work [16], we have shown that a certain price process, which is given by the solution to a forward backward stochastic differential equation of conditional McKean-Vlasov type, asymptotically...
Persistent link: https://www.econbiz.de/10013215597
In this work, we study an equilibrium-based continuous asset pricing problem which seeks to form a price process endogenously by requiring it to balance the flow of sales-and-purchase orders in the exchange market, where a large number of agents are interacting through the market price. Adopting...
Persistent link: https://www.econbiz.de/10012840096
Persistent link: https://www.econbiz.de/10012813504
Persistent link: https://www.econbiz.de/10012813661