On simulation of optimal strategies and Nash equilibrium in the financial market context.
Jonas MockusPublished in: J. Glob. Optim. (2010)
Keyphrases
- nash equilibrium
- optimal strategy
- financial markets
- game theory
- game theoretic
- mathematical models
- variational inequalities
- decision problems
- fictitious play
- nash equilibria
- monte carlo
- stock price
- mixed strategy
- pareto optimal
- agent based models
- solution concepts
- stock market
- pure strategy
- expected utility
- special case
- profit maximizing
- machine learning
- regret minimization
- risk management
- state space
- lower bound
- decision making