Discrete bidding strategies for a random incoming order
bidding gamelimit order bookmeasure-valued optimizationNash equilibriumoptimal pricing strategyoptimality conditionsrandom incoming order
Applications of operator theory in systems, signals, circuits, and control theory (47N70) Existence theories for optimal control problems involving relations other than differential equations (49J21) Existence of optimal solutions to problems involving randomness (49J55) Optimality conditions for problems involving relations other than differential equations (49K21) Optimality conditions for problems involving randomness (49K45) (n)-person games, (n>2) (91A06) Games with infinitely many players (91A07) Probabilistic games; gambling (91A60) Auctions, bargaining, bidding and selling, and other market models (91B26)
- A dynamic model of the limit order book
- Dynamic stability of the Nash equilibrium for a bidding game
- Strategic liquidity provision in limit order markets
- A bidding game in a continuum limit order book
- High-frequency limit of Nash equilibria in a market impact game with transient price impact
- A bidding game with heterogeneous players
- Order books, markets and convex analysis
- Infinite horizon Nash equilibrium models of a limit order book
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