**Reference:**

K. Stanková and
B. De Schutter,
"First steps towards finding a solution of a dynamic investor-bank
game," *Proceedings of the 2010 IEEE International Conference on
Control Applications*, Yokohama, Japan, pp. 2065-2070, Sept. 2010.

**Abstract:**

The subject of this paper is a one-leader-one-follower dynamic inverse
Stackelberg game with a fixed duration between a bank acting as the
leader and an investor acting as the follower. The investor makes her
transaction decisions with the bank as intermediary and the bank
charges her transaction costs that are dependent on the investor's
transactions. The goal of both players is to maximize their profits.
The problem is to find a closed-form ε-optimal strategy for
the bank. This problem belongs to the realm of composed functions and
therefore is very difficult to solve. In this paper we first propose
general guidelines for finding such an ε-optimal strategy for
the bank and then apply these guidelines on specific academic
examples. First we present an example in which we are able to find a
closed-form ε-optimal solution, but we also introduce an
example in which it is impossible to find such a solution and one has
to proceed in a numerical way.

Online version of the paper

Corresponding technical report: pdf file (127 KB)

@inproceedings{StaDeS:10-036,

author={K. Sta{\v{n}}kov{\'{a}} and B. {D}e Schutter},

title={First steps towards finding a solution of a dynamic investor-bank game},

booktitle={Proceedings of the 2010 IEEE International Conference on Control Applications},

address={Yokohama, Japan},

pages={2065--2070},

month=sep,

year={2010},

doi={10.1109/CCA.2010.5611178}

}

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