Strong Convergence to the Mean Field Limit of a Finite Agent Equilibrium

DOI10.1137/21M1441055zbMath1489.91282arXiv2010.09186OpenAlexW3093308966MaRDI QIDQ5080129

Akihiko Takahashi, Masaaki Fujii

Publication date: 31 May 2022

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2010.09186

zbMATH Keywords

price formationmean field gamescommon noisemarket clearingequilibrium in incomplete markets

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Heterogeneous agent models (91B69) Mean field games (aspects of game theory) (91A16)

Related Items (1)

Equilibrium pricing of securities in the co-presence of cooperative and non-cooperative populations

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