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Table Of Contents

Introduction
Le cadre d’étude
1.1 Le contexte
1.1.1 Asymétrie d’information sur le marché financier
1.1.1.1 Structure des marchés financiers
1.1.1.2 Asymétrie d’information et investisseurs
1.1.1.3 Généralisations
1.2 Jeux à information incomplète
1.2.1 Introduction et propriétés de la valeur
1.2.2 Le jeu dual
1.3 La théorie des jeux répétés avec information incomplète d’un côté
1.3.1 Le modèle
1.3.2 La martingale des aposteriori
1.3.3 Structure récursive : Primal et Dual
1.3.4 Comportement asymptotique de Vn n
1.4 Sur l’origine du mouvement Brownien en fi- nance
1.4.1 Le modèle
1.4.2 Les principaux résultats
1.4.3 Extensions possibles
Continuous versus discrete market games
2.1 Introduction
2.2 Reminder on the continuous game Gc n
2.3 The discretized game Gl n
2.4 A positive fixed point for T
2.4.1 Some properties of T
2.4.2 A fixed point of T∗
2.5 Continuous versus discrete market game
2.6 Conclusion
Repeated games with lack of information on both sides
3.1 La théorie des jeux répétés à information in- complète des deux côtés
3.1.1 Le modèle
3.1.2 Formule de récurrence
3.1.3 Comportement asymptotique de Vn n
3.2.1 Introduction
3.2.2 The dual games
3.2.3 The primal recursive formula
3.2.4 The dual recursive structure
3.2.5 Games with infinite action spaces
Repeated market games with lack of information on both sides
4.1 Introduction
4.2 The model
4.3 The main results of the paper
4.4 The recursive structure of Gn(p,q)
4.4.1 The strategy spaces in Gn(p,q)
4.4.2 The recursive structure of Gn(p,q)
4.4.3 Another parameterization of players’ strategy space
4.4.4 Auxiliary recursive operators
4.4.5 Relations between operators
4.5 The value
4.5.1 New formulation of the value
4.6 Asymptotic approximation of Vn
4.7 Heuristic approach to a continuous time game
4.10 Approximation results
4.11 Appendix
An algorithm to compute the value of Markov chain games
5.1 Introduction
5.3 Recursive formula
5.4 From recursive operator to linear program- ming
5.5 Parametric linear programming
5.5.1 Heuristic approach
5.5.2 Algorithm for (Sp)
5.6 Induced results
5.6.1 Algorithm for the repeated game value
5.7 Examples
5.7.1 A particular Markov chain game
5.7.2 Explicit values : Mertens Zamir example
5.7.3 Convergence of Vn/√n : Mertens Zamir example
5.7.4 Fixed point : Market game example
The value of a particular Markov chain game
6.1 The model
6.2 Recursive formula
6.3 The particular case
Perspectives
Appendice A : Jeux à somme nulle
Appendice B : Théorème du Minmax
Appendice C : Dualité
Appendice D : Programmation linéaire
Notations
Bibliographie
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Published by: Houcine Greed's on Jun 05, 2012
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