Optimal investment in a large population of competitive and heterogeneous agents

DOI10.1007/s00780-023-00527-9arXiv2202.11314OpenAlexW4391541225WikidataQ128650597 ScholiaQ128650597MaRDI QIDQ6130337

Xuchen Zhou, Ludovic Tangpi

Publication date: 2 April 2024

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

Full work available at URL: https://arxiv.org/abs/2202.11314

zbMATH Keywords

propagation of chaosFBSDEMcKean-Vlasov equationsstochastic graphon games

Mathematics Subject Classification ID

Games with infinitely many players (91A07) Stochastic games, stochastic differential games (91A15) Portfolio theory (91G10)

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