Mean Field Game ε-Nash equilibria for partially observed optimal execution problems in finance.

Dena Firoozi Peter E. Caines

Published in: CDC (2016)

Keyphrases

nash equilibria
partially observed
game theory
nash equilibrium
game theoretic
stochastic games
pure strategy
solution concepts
incomplete information
closed form
computer games
fictitious play
dynamic programming
optimal strategy
subgame perfect
genetic algorithm
mathematical programming
expert systems