Mean field portfolio games

DOI10.1007/s00780-022-00492-9zbMath1505.91059arXiv2106.06185OpenAlexW4312200481MaRDI QIDQ2111248

Guanxing Fu, Chao Zhou

Publication date: 28 December 2022

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2106.06185

zbMATH Keywords

mean field gameFBSDEmartingale optimality principleportfolio game

Mathematics Subject Classification ID

Applications of game theory (91A80) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Mean field games (aspects of game theory) (91A16)

Related Items (1)

Mean field portfolio games with consumption

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