Time-inconsistent mean field and n-agent games under relative performance criteria

DOI10.1137/22M1533219MaRDI QIDQ6648328zbMATH OpenFDO

Authors Zongxia Liang, Keyu Zhang

Publication date 4 December 2024

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

Full work available at URL https://doi.org/10.1137/22M1533219

zbMATH Keywords

forward backward stochastic differential equationmean field gamesopen-loop equilibriumrelative performancetime-inconsistency

Mathematics Subject Classification ID

(n)-person games, (n>2) (91A06) Mean field games (aspects of game theory) (91A16) Portfolio theory (91G10)

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Cites work

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• Time-Inconsistent Mean-Field Stochastic LQ Problem: Open-Loop Time-Consistent Control
• Time-inconsistent optimal control problems and the equilibrium HJB equation
• Time-inconsistent stochastic linear-quadratic control
• Uniqueness of equilibrium strategies in dynamic mean-variance problems with random coefficients

Cited in

(2)

• Multiagent relative investment games in a jump diffusion market with deep reinforcement learning algorithm
• Optimal investment for agents with unhedgeable stochastic income in competitive games

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