Mean field and n-player games in Ito-diffusion markets under forward performance criteria
We study n-player games of portfolio choice in general common Ito-diffusion markets under relative performance criteria and time monotone forward utilities. We, also,consider their continuum limit which gives rise to a forward mean field game with unbounded controls in both the drift and volatility terms. Furthermore, we allow for general(time monotone) preferences, thus departing from the homothetic case, the only case so far analyzed. We produce explicit solutions for the optimal policies, the optimal wealth processes and the game values, and also provide representative examples for both the finite and the mean field game.
Probability,Uncertainty and Quantitative Risk
2024年02期
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