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Teoriya Veroyatnostei i ee Primeneniya, 2006, Volume 51, Issue 3, Pages 537–551
DOI: https://doi.org/10.4213/tvp38 (Mi tvp38) 		 
This article is cited in 4 scientific papers (total in 4 papers)

Nash equilibrium in a game of calibration

O. A. Glontia, P. Harremöesb, Z. Khechinashvilia, F. Topsøec

a Tbilisi Ivane Javakhishvili State University
b Centrum voor Wiskunde en Informatica
c Department of Mathematical Sciences, University of Copenhagen
Full-text PDF (1451 kB) Citations (4)
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DOI: https://doi.org/10.4213/tvp38
Abstract: A general game between market and investor is studied and properties which are based on the notion of Nash equilibrium are derived. The results have the potential to unify and simplify previous research. As an illustration, a problem of calibration in a simple model of stock price development is treated.
Keywords: Nash equilibrium, model calibration, relative entropy, reverse relative entropy.
Received: 06.06.2004
English version:
Theory of Probability and its Applications, 2007, Volume 51, Issue 3, Pages 415–426
DOI: https://doi.org/10.1137/S0040585X97982517
Bibliographic databases:
Language: English
Citation: O. A. Glonti, P. Harremöes, Z. Khechinashvili, F. Topsøe, “Nash equilibrium in a game of calibration”, Teor. Veroyatnost. i Primenen., 51:3 (2006), 537–551; Theory Probab. Appl., 51:3 (2007), 415–426
Citation in format AMSBIB
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  • https://www.mathnet.ru/eng/tvp38
  • https://doi.org/10.4213/tvp38
  • https://www.mathnet.ru/eng/tvp/v51/i3/p537
    • This publication is cited in the following 4 articles:
    1. Topsoe F., “Paradigms of Cognition”, Entropy, 19:4 (2017), 143  crossref  isi  scopus
    2. BARBARA TRIVELLATO, “THE MINIMAL κ-ENTROPY MARTINGALE MEASURE”, Int. J. Theor. Appl. Finan., 15:05 (2012), 1250038  crossref
    3. Martin Schweizer, Encyclopedia of Quantitative Finance, 2010  crossref
    4. Topsøe F., “Game theoretical optimization inspired by information theory”, J. Global Optim., 43:4 (2009), 553–564  crossref  mathscinet  zmath  isi  scopus
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Теория вероятностей и ее применения Theory of Probability and its Applications
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    References:104
     
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