3 citations · 3 across the 1 of their papers we have counts for
3 papers
q-fin.MF2019
Asset Pricing with Heterogeneous Beliefs and Illiquidity
Johannes Muhle-Karbe, Marcel Nutz, Xiaowei Tan
This paper studies the equilibrium price of an asset that is traded in continuous time between N agents who have heterogeneous beliefs about the state process underlying the asset'…
math.OC2018
Convergence to the Mean Field Game Limit: A Case Study
Marcel Nutz, Jaime San Martin, Xiaowei Tan
We study the convergence of Nash equilibria in a game of optimal stopping. If the associated mean field game has a unique equilibrium, any sequence of -player equilibria converg…
math.PR2017★ 3 cited
Multiperiod Martingale Transport
Marcel Nutz, Florian Stebegg, Xiaowei Tan
Consider a multiperiod optimal transport problem where distributions are prescribed and a transport corresponds to a scalar martingale with marginals $X_{t}…