Control and optimization
Decision theory
Mathematical modeling of ecological-economic systems
N.V. Trusov Application of Mean Field Games approximation to economic processes modeling
Design Automation
N.V. Trusov Application of Mean Field Games approximation to economic processes modeling

Abstract.

We present a trading execution model of professional trader and retail traders on financial market [1]. The behavior of retail traders is described by a system of PDE’s that, by some assumptions, can be reduced to ODE’s system. The optimal strategy of professional trader is based on optimal control theory.

Keywords:

Bellman equation, Fokker-Planck equation, optimal control, Riccati equations.

PP. 88-91.

References

1. Fatone L., Mariani F., Recchioni M.C. and Zirilli F. (2014) A Trading Executional Model Based on Mean Field Games and Optimal Control. Applied Mathematics, 5, 3091-3116.
2. Pontryagin L.S., Boltyansky V.G., Gamkrelidze R.V., Mishchenko E.F. Mathematical theory of optimal processes (in Russian). Moscow: Nauka, 1983.
 

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