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

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  • Faculty of Computational Mathematics and Cybernetics, Lomonosov Moscow State University, Moscow, Russian Federation, 119991

Received date: 2023-01-07

  Revised date: 2023-04-17

  Online published: 2024-03-13

Supported by

This work was was supported by Moscow Center of Fundamental and Applied Mathematics (No.75-15-2022-284).

Abstract

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.

Cite this article

Sergey N. Smirnov . A Note on Transition Kernels for the Most Unfavourable Mixed Strategies of the Market[J]. Journal of the Operations Research Society of China, 2024 , 12(1) : 35 -50 . DOI: 10.1007/s40305-023-00490-4

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