论文标题
平均现场指数实用程序游戏：一种概率方法
Mean Field Exponential Utility Game: A Probabilistic Approach
论文作者
论文摘要
我们研究了$ n $ - 玩家和平均场地指数公用事业游戏。每个玩家都管理两个股票；一个是由个人冲击驱动的，另一个是由共同的冲击驱动的。此外，每个球员不仅关心自己的终端财富，而且关心竞争对手的相对表现。我们使用概率方法来研究这两款游戏。我们展示了$ n $玩家游戏的独特平衡，平均野外游戏的特点是具有新颖的多维FBSDE，分别具有二次增长和新颖的均值FBSDE。适当的结果和收敛结果得以建立。
We study an $N$-player and a mean field exponential utility game. Each player manages two stocks; one is driven by an individual shock and the other is driven by a common shock. Moreover, each player is concerned not only with her own terminal wealth but also with the relative performance of her competitors. We use the probabilistic approach to study these two games. We show the unique equilibrium of the $N$-player game and the mean field game can be characterized by a novel multi-dimensional FBSDE with quadratic growth and a novel mean-field FBSDEs, respectively. The well-posedness result and the convergence result are established.
