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Search: subject:"mean field-type control"
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Portfolio selection
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controlled-FBSDEs
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equilibrium price formation
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major agent
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market clearing
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mean field game
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mean-field type control
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ECONIS (ZBW)
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Equilibrium price formation with a major player and its mean field limit
Fujii, Masaaki
;
Takahashi, Akihiko
-
2022
-
This version: 14 February, 2022
Persistent link: https://www.econbiz.de/10013271713
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2
Equilibrium price formation with a major player and its mean field limit
Fujii, Masaaki
;
Takahashi, Akihiko
-
2021
-
Revised in March 2021, and February 2022
Persistent link: https://www.econbiz.de/10013335011
Saved in:
3
A risk extended version of Merton's optimal consumption and portfolio selection
Bensoussan, Alain
;
Hoe, SingRu
;
Kim, Joohyun
;
Yan, Zhongfeng
- In:
Operations research
70
(
2022
)
2
,
pp. 815-829
Persistent link: https://www.econbiz.de/10013365795
Saved in:
4
Dynamic mean-variance problem with frictions
Bensoussan, Alain
;
Ma, Guiyuan
;
Siu, Chi Chung
;
Yam, …
- In:
Finance and stochastics
26
(
2022
)
2
,
pp. 267-300
Persistent link: https://www.econbiz.de/10013197583
Saved in:
5
Krasovskii-Subbotin approach to mean field type differential games
Averboukh, Yurii
- In:
Dynamic games and applications : DGA
9
(
2019
)
3
,
pp. 573-593
Persistent link: https://www.econbiz.de/10012225974
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