Forward relative performance processes with CRRA wealth utility and separable time-space dependence necessarily induce matching CRRA consumption utility, yielding closed-form Nash equilibria for n-player and mean-field games with consumption.
Mean field and many-player games in ito-diffusion markets under forward performance criteria
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
math.OC 1years
2025 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
Optimal investment and consumption under forward utilities with relative performance concerns
Forward relative performance processes with CRRA wealth utility and separable time-space dependence necessarily induce matching CRRA consumption utility, yielding closed-form Nash equilibria for n-player and mean-field games with consumption.