Time-inconsistent mean field and \(n\)-agent games under relative performance criteria
From MaRDI portal
Publication:6648328
DOI10.1137/22M1533219MaRDI QIDQ6648328
Publication date: 4 December 2024
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
open-loop equilibriummean field gamesrelative performancetime-inconsistencyforward backward stochastic differential equation
(n)-person games, (n>2) (91A06) Portfolio theory (91G10) Mean field games (aspects of game theory) (91A16)
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Consumption-investment strategies with non-exponential discounting and logarithmic utility
- Mean field games with common noise
- On time-inconsistent stochastic control in continuous time
- Non-exponential discounting portfolio management with habit formation
- Investment and consumption without commitment
- Mean field games
- Consumption and portfolio rules for time-inconsistent investors
- Time-inconsistent optimal control problems and the equilibrium HJB equation
- Mean field portfolio games
- Many-player games of optimal consumption and investment under relative performance criteria
- Uniqueness of equilibrium strategies in dynamic mean-variance problems with random coefficients
- A probabilistic weak formulation of mean field games and applications
- Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle
- Linear-quadratic time-inconsistent mean field games
- Probabilistic analysis of mean-field games
- Time-inconsistent stochastic linear-quadratic control
- Time-Inconsistent Mean-Field Stochastic LQ Problem: Open-Loop Time-Consistent Control
- Time-Inconsistent Consumption-Investment Problems in Incomplete Markets under General Discount Functions
- Time-Inconsistent Control Theory with Finance Applications
- N-Player and Mean-Field Games in Itˆo-Diffusion Markets with Competitive or Homophilous Interaction
- Mean field and n‐agent games for optimal investment under relative performance criteria
- OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS
- Probabilistic Theory of Mean Field Games with Applications I
- Probabilistic Theory of Mean Field Games with Applications II
- Mean Field Game of Optimal Relative Investment with Jump Risk
This page was built for publication: Time-inconsistent mean field and \(n\)-agent games under relative performance criteria
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6648328)
