Optimal investment mean-field and N-player games with memory effect and relative performance competition

DOI10.1080/03610926.2021.1928204OpenAlexW3190653900MaRDI QIDQ6107580

Unnamed Author, Xuhui Wang

Publication date: 3 July 2023

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2021.1928204

zbMATH Keywords

stochastic controlequationmean-field gameoptimal investmentHamilton-Jacobi-Bellman

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Applications of game theory (91A80) Applications of stochastic analysis (to PDEs, etc.) (60H30) Dynamical systems in optimization and economics (37N40) Hamilton-Jacobi equations (35F21)

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• A stochastic portfolio optimization model with complete memory
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