An FBSDE approach to market impact games with stochastic parameters
作者机构：SAIF/CAFR/CMAR and School of Mathematical SciencesShanghai Jiao Tong UniversityShanghai 200030China School of Mathematical SciencesShanghai Jiao Tong UniversityShanghai 200240China Department of Statistics and Actuarial ScienceUniversity of WaterlooCanada
出 版 物：《Probability, Uncertainty and Quantitative Risk》 (概率、不确定性与定量风险（英文）)
年 卷 期：2021年第6卷第3期
页 面：237-260页
学科分类：0202[经济学-应用经济学] 02[经济学] 020205[经济学-产业经济学]
基 金：the National Natural Science Foundation of China(Grant No.11971310) “Assessment of Risk and Uncertainty in Finance”(Grant No.AF0710020)from Shanghai Jiao Tong University Peng Luo gratefully acknowledges the support from the National Natural Science Foundation of China(Grant No.12101400) Peng Luo and Alexander Schied gratefully acknowledge the support from the Natural Sciences and Engineering Research Council of Canada(Grant No.RGPIN-2017-04054) Dewen Xiong gratefully acknowledges the support from the National Natural Science Foundation of China(Grant No.11671257)
主 题：Market impact game Nash equilibrium FBSDE
摘 要：In this study,we have analyzed a market impact game between n risk-averse agents who compete for liquidity in a market impact model with a permanent price impact and additional *** market parameters,including volatility and drift,are allowed to vary *** 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 a unique solution,resulting in a unique Nash equilibrium.
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