Geodesic
Nash equilibrium in a game of calibration
Teoriâ veroâtnostej i ee primeneniâ, Tome 51 (2006) no. 3, pp. 537-551

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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. 
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     author = {O. A. Glonti and P. Harrem\"oes and Z. Khechinashvili and F. Tops{\o}e},
     title = {Nash equilibrium in a game of calibration},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
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     publisher = {mathdoc},
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     number = {3},
     year = {2006},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/TVP_2006_51_3_a5/}
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O. A. Glonti; P. Harremöes; Z. Khechinashvili; F. Topsøe. Nash equilibrium in a game of calibration. Teoriâ veroâtnostej i ee primeneniâ, Tome 51 (2006) no. 3, pp. 537-551. http://geodesic.mathdoc.fr/item/TVP_2006_51_3_a5/