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Many-player games of optimal consumption and investment under relative performance criteria
16 references·1 citing·40 second hop
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References

  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1998Costly Search and Mutual Fund Flows3,217 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
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  • 2006Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle1,574 cited
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  • 1986Explicit Solution of a General Consumption/Investment Problem

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387 cited
  • 2016Mean field games with common noise204 cited
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    • 2022Extended mean field control problem: a propagation of chaos result31 cited