We consider a deterministic model of market evolution with trading constraints andapply a game-theoretic approach to the superhedging problem.We obtain sufficientconditions for the game equilibrium and prove under thes...We consider a deterministic model of market evolution with trading constraints andapply a game-theoretic approach to the superhedging problem.We obtain sufficientconditions for the game equilibrium and prove under these conditions the existenceof a Borel-measurable transition kernel describing dependence on price prehistory ofthe most unfavourable mixed strategy of the market.展开更多
基金supported by Moscow Center of Fundamental and Applied Mathematics(No.75-15-2022-284).
文摘We consider a deterministic model of market evolution with trading constraints andapply a game-theoretic approach to the superhedging problem.We obtain sufficientconditions for the game equilibrium and prove under these conditions the existenceof a Borel-measurable transition kernel describing dependence on price prehistory ofthe most unfavourable mixed strategy of the market.
