Applied Mathematics Seminar

DATE2019-08-14 13:10-14:00


SPEAKER吳聲志 副教授(蘇州大學

TITLEN-agent and Mean Field Games for Optimal Investment under Relative Performance Competition and Memory

ABSTRACT We consider a Merton type investment-consumption problem in which the dynamics depends on its own past and the utility incorporates relative performance concern. The problem is formulated as a stochastic control problem with certain types of delay in the system. The objective is to choose trading and consumption strategies so that the expected discounted utility is maximized for an agent in the cases of finite and infinite populations. We first derive solutions to the associated Hamilton-Jacobi-Bellman equations, and then establish the optimal trading and consumption strategies in the games, and finally make comparisons with the classical Merton solutions.