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Large games with only small players and finite strategy sets

Andrzej Wieczorek (2004)

Applicationes Mathematicae

Large games of kind considered in the present paper (LSF-games) directly generalize the usual concept of n-matrix games; the notion is related to games with a continuum of players and anonymous games with finitely many types of players, finitely many available actions and distribution dependent payoffs; however, there is no need to introduce a distribution on the set of types. Relevant features of equilibrium distributions are studied by means of fixed point, nonlinear complementarity and constrained...

Large games with only small players and strategy sets in Euclidean spaces

Andrzej Wieczorek (2005)

Applicationes Mathematicae

The games of type considered in the present paper (LSE-games) extend the concept of LSF-games studied by Wieczorek in [2004], both types of games being related to games with a continuum of players. LSE-games can be seen as anonymous games with finitely many types of players, their action sets included in Euclidean spaces and payoffs depending on a player's own action and finitely many integral characteristics of distributions of the players' (of all types) actions. We prove the existence of equilibria...

Large investor trading impacts on volatility

Pierre-Louis Lions, Jean-Michel Lasry (2007)

Annales de l'I.H.P. Analyse non linéaire

Limiting distribution for a simple model of order book dynamics

Łukasz Kruk (2012)

Open Mathematics

A continuous-time model for the limit order book dynamics is considered. The set of outstanding limit orders is modeled as a pair of random counting measures and the limiting distribution of this pair of measure-valued processes is obtained under suitable conditions on the model parameters. The limiting behavior of the bid-ask spread and the midpoint of the bid-ask interval are also characterized.

Locational equilibrium of two facilities on a tree

Horst A. Eiselt, Gilbert Laporte (1991)

RAIRO - Operations Research - Recherche Opérationnelle

Loss protection in pairs trading through minimum profit bounds: A cointegration approach.

Lin, Yan-Xia, McCrae, Michael, Gulati, Chandra (2006)

Journal of Applied Mathematics and Decision Sciences

Low Volatility Options and Numerical Diffusion of Finite Difference Schemes

Milev, Mariyan, Tagliani, Aldo (2010)

Serdica Mathematical Journal

2000 Mathematics Subject Classification: 65M06, 65M12.In this paper we explore the numerical diffusion introduced by two nonstandard finite difference schemes applied to the Black-Scholes partial differential equation for pricing discontinuous payoff and low volatility options. Discontinuities in the initial conditions require applying nonstandard non-oscillating finite difference schemes such as the exponentially fitted finite difference schemes suggested by D. Duffy and the Crank-Nicolson variant...