High-Frequency Limit of Nash Equilibria in a Market Impact Game with Transient Price Impact
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Publication:4607045
DOI10.1137/16M107030XzbMath1407.91234arXiv1509.08281OpenAlexW3101700033MaRDI QIDQ4607045
Elias Strehle, Tao Zhang, Alexander Schied
Publication date: 12 March 2018
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1509.08281
Noncooperative games (91A10) 2-person games (91A05) Discrete-time games (91A50) Financial applications of other theories (91G80) Dynamic games (91A25) Portfolio theory (91G10)
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