This article is cited in 4 papers

Nash equilibrium in a game of calibration

O. A. Glonti^a, P. Harremöes^b, Z. Khechinashvili^a, F. Topsøe<sup>c

a</sup> Tbilisi Ivane Javakhishvili State University
^b Centrum voor Wiskunde en Informatica
^c Department of Mathematical Sciences, University of Copenhagen

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

Language: English

DOI: 10.4213/tvp38

 English version: Theory of Probability and its Applications, 2007, 51:3, 415–426

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