Numerical study of the stock market crises based on mean field games approach
From MaRDI portal
Publication:2066941
DOI10.1515/jiip-2020-0016zbMath1480.91320OpenAlexW3121092002MaRDI QIDQ2066941
Publication date: 17 January 2022
Published in: Journal of Inverse and Ill-Posed Problems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/jiip-2020-0016
Numerical methods (including Monte Carlo methods) (91G60) Applications of game theory (91A80) Optimal stochastic control (93E20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Mean field games (aspects of game theory) (91A16) Financial markets (91G15)
Related Items (7)
Identification of the household behavior modeling based on modified Ramsey model ⋮ On one inverse problem for the Kolmogorov-Fokker-Planck equation ⋮ The mean field games system: Carleman estimates, Lipschitz stability and uniqueness ⋮ The group behaviour modelling of workers in the labor market ⋮ On the mean field games system with lateral Cauchy data via Carleman estimates ⋮ A coefficient inverse problem for the mean field games system ⋮ Hölder stability and uniqueness for the mean field games system via Carleman estimates
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The turnpike property in finite-dimensional nonlinear optimal control
- Inverse problems in Pareto's demand theory and their applications to analysis of stock market crises
- Mean field games. I: The stationary case
- Mean field games. II: Finite horizon and optimal control
- On the convergence of the proximal algorithm for nonsmooth functions involving analytic features
- Mean field games
- Modeling and computation of mean field equilibria in producers' game with emission permits trading
- Numerical solution of mean field games problems with turnpike effect
- Numerical solution of a parabolic optimal control problem arising in economics and management
- Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
- Mean Field Games: Numerical Methods for the Planning Problem
- A monotonic method for nonlinear optimal control problems with concave dependence on the state
- Mean Field Games and Applications
- COMPUTATION OF MEAN FIELD EQUILIBRIA IN ECONOMICS
- The NCE (Mean Field) Principle With Locality Dependent Cost Interactions
- Mean Field Games and Mean Field Type Control Theory
- Discrete-time signal processing. An algebraic approach
This page was built for publication: Numerical study of the stock market crises based on mean field games approach
