Mean field game of controls and an application to trade crowding

DOI10.1007/s11579-017-0206-zzbMath1397.91084arXiv1610.09904OpenAlexW3122588987MaRDI QIDQ1648897

Charles-Albert Lehalle, Pierre Cardaliaguet

Publication date: 5 July 2018

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1610.09904

zbMATH Keywords

market microstructure optimal liquidation optimal trading optimal stochastic control mean field games crowding

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15) Portfolio theory (91G10)

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