Control-Stopping Games for Market Microstructure and Beyond

DOI10.1287/moor.2019.1033zbMath1455.91062arXiv1708.00506OpenAlexW3010239106MaRDI QIDQ3387925

Roman Gayduk, Sergey Nadtochiy

Publication date: 8 January 2021

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1708.00506

zbMATH Keywords

inventory managementmarket microstructurenon-zero-sum gamecontrol-stopping gameliquidity effects of tick size

Mathematics Subject Classification ID

2-person games (91A05) Applications of game theory (91A80) Auctions, bargaining, bidding and selling, and other market models (91B26) Games of timing (91A55)

Related Items

Reflected BSDEs in non-convex domains ⋮ A simple microstructural explanation of the concavity of price impact ⋮ Multi-dimensional BSDEs with mean reflection ⋮ Endogenous Formation of Limit Order Books: Dynamics Between Trades

Cites Work

• Particle systems with singular interaction through hitting times: application in systemic risk modeling
• Backward stochastic differential equations with reflection and Dynkin games
• Reflected BSDEs and mixed game problem
• Nash equilibria of threshold type for two-player nonzero-sum games of stopping
• Particle systems with a singular mean-field self-excitation. Application to neuronal networks
• On the optimal stopping problem for one-dimensional diffusions.
• The Continuous Time Nonzero-Sum Dynkin Game Problem and Application in Game Options
• Optimal Stopping of Linear Diffusions with Random Discounting
• Nonzero-Sum Stochastic Differential Games With Stopping Times and Free Boundary Problems
• Liquidity effects of trading frequency
• Endogenous Formation of Limit Order Books: Dynamics Between Trades
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