论文标题
使用随机参数的FBSDE销售影响游戏的方法
An FBSDE approach to market impact games with stochastic parameters
论文作者
论文摘要
我们分析了在$ n $ nduts Advess Agents之间的市场影响游戏，他们在市场影响模型中争夺流动性，并具有永久性的价格影响和额外的滑倒。大多数市场参数，包括波动性和漂移，都可以随机变化。我们的第一个主要结果是NASH平衡的特征，它是向前靠背的随机微分方程（FBSDES）的完全耦合系统。我们的第二个主要结果提供了这种条件，该系统确实具有独特的解决方案，从而产生了独特的NASH平衡。我们此外，在特殊情况下获得封闭形式的解决方案并进行数值分析
We analyze a market impact game between $n$ risk averse agents who compete for liquidity in a market impact model with permanent price impact and additional slippage. Most market parameters, including volatility and drift, are allowed to vary stochastically. Our first main result characterizes the Nash equilibrium in terms of a fully coupled system of forward-backward stochastic differential equations (FBSDEs). Our second main result provides conditions under which this system of FBSDEs has indeed a unique solution, which in turn yields the unique Nash equilibrium. We furthermore obtain closed-form solutions in special situations and analyze them numerically
