Mean field game of controls and an application to trade crowding
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Publication:1648897
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
market microstructureoptimal liquidationoptimal tradingoptimal stochastic controlmean field gamescrowding
Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15) Portfolio theory (91G10)
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