Geodesic
Nash equilibrium in a game of calibration
Teoriâ veroâtnostej i ee primeneniâ, Tome 51 (2006) no. 3, pp. 537-551 Cet article a éte moissonné depuis la source Math-Net.Ru

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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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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/

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