This was part of Applications to Financial Engineering
Mean-field games in Ito-diffusion markets with common noise under forward performance criteria
Thaleia Zariphopoulou, University of Texas at Austin
Wednesday, December 8, 2021
Abstract: In this talk, I will present a mean-field game with common noise in Ito-diffusion markets. The players have preferences modeled through general forward criteria and compete with each other for their fund performance. The optimal policies and value of the game will be derived. I will also discuss the problem with finite number of players and examine its limit to the mean-field game.