A Note on Transition Kernels for the Most Unfavourable Mixed Strategies of the Market

A Note on Transition Kernels for the Most Unfavourable Mixed Strategies of the Market

We consider a deterministic model of market evolution with trading constraints and apply a game-theoretic approach to the superhedging problem. We obtain sufficient conditions for the game equilibrium and prove under these conditions the existence of a Borel-measurable transition kernel describing d...

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Veröffentlicht in:Journal of the Operations Research Society of China (Internet) 2024-03, Vol.12 (1), p.35-50
1. Verfasser: Smirnov, Sergey N.
Format: Artikel
Sprache:eng
Schlagworte:
Arbitrage
Constraint modelling
Dynamic programming
Equilibrium
Game theory
Hedging
Management Science
Mathematics
Mathematics and Statistics
Operations Research
Prices
Probability
Profits
Securities markets
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Beschreibung
Zusammenfassung:We consider a deterministic model of market evolution with trading constraints and apply a game-theoretic approach to the superhedging problem. We obtain sufficient conditions for the game equilibrium and prove under these conditions the existence of a Borel-measurable transition kernel describing dependence on price prehistory of the most unfavourable mixed strategy of the market.
ISSN:2194-668X
2194-6698
DOI:10.1007/s40305-023-00490-4