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

DOI10.1080/03610926.2021.1928204MaRDI QIDQ6107580zbMATH OpenOpenAlexFDO

Authors Xuhui Wang, Lei Hu

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

equationHamilton-Jacobi-Bellmanmean-field gameoptimal investmentstochastic control

Mathematics Subject Classification ID

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

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Cites work

• A stochastic portfolio optimization model with bounded memory
• A stochastic portfolio optimization model with complete memory
• An infinite time horizon portfolio optimization model with delays
• Bertrand and Cournot mean field games
• Endogenous formation of limit order books: dynamics between trades
• scientific article; zbMATH DE number 3936125 (Why is no real title available?)
• Mean field and n-agent games for optimal investment under relative performance criteria
• Mean field game of controls and an application to trade crowding
• Mean field games and systemic risk
• Mean-Field Game Strategies for Optimal Execution
• Optimal investment problem with delay under partial information
• Stochastic control problems with delay
• Stochastic Control Theory
• Systemic risk and stochastic games with delay
• The dynamics of inequality
• When Are HJB-Equations in Stochastic Control of Delay Systems Finite Dimensional?

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