An FBSDE approach to market impact games with stochastic parameters.

Subjects

Subjects :

MARTINGALES (Mathematics)
STOCHASTIC integrals
STOCHASTIC control theory
STOCHASTIC differential equations
CONDITIONAL expectations
OPERATIONS research
DIFFERENTIAL games

Details

Language :

English

ISSN :

20959672

Volume :

6

Issue :

3

Database :

Complementary Index

Journal :

Probability, Uncertainty & Quantitative Risk

Publication Type :

Academic Journal

Accession number :

156213629

Full Text :

https://doi.org/10.3934/puqr.2021012