Mean field games with unbounded controlled common noise in portfolio management with relative performance criteria

DOI10.1007/s11579-024-00363-1MaRDI QIDQ6631638

Panagiotis E. Souganidis, Thaleia Zariphopoulou

Publication date: 1 November 2024

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

zbMATH Keywords

master equationportfolio choicemean field gamesrelative performanceunbounded controlled common noise

Mathematics Subject Classification ID

Applications of game theory (91A80) Portfolio theory (91G10) Mean field games (aspects of game theory) (91A16)

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