Abstract
This paper addresses a stochastic differential game arising in a stock market largely controlled by big traders. We model stock price behaviour as a standard geometric Brownian motion and the stock market as characterized by the presence of a few large traders and a fringe of marginal “noise traders”. Using the concept of Nash equilibrium we compute the equilibrium strategies and optimal value functions for the large traders. We also establish the stability of the state process under equilibrium strategies of the large traders. Finally we illustrate our results through some numerical examples for each variation of our model.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
