On simulation of optimal strategies and Nash equilibrium in the financial market context

DOI10.1007/S10898-009-9513-0MaRDI QIDQ1959239zbMATH OpenOpenAlexFDO

Authors Jonas Mockus

Publication date 6 October 2010

Published in Journal of Global Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10898-009-9513-0

zbMATH Keywords

Nash equilibriumoptimizationstock exchangetime seriesWiener model

Mathematics Subject Classification ID

Applications of game theory (91A80) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

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Cites work

• A fast and stable method to compute the likelihood of time invariant state-space models.
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• Global optimization with non-convex constraints. Sequential and parallel algorithms
• scientific article; zbMATH DE number 3718485 (Why is no real title available?)
• scientific article; zbMATH DE number 1203332 (Why is no real title available?)
• scientific article; zbMATH DE number 1382606 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Long memory processes and fractional integration in econometrics
• Non-cooperative games

Cited in

(7)

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• Simulation of a financial market: the possibility of catastrophic disequilibrium
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