Related papers: Mean Field Equilibrium Asset Pricing Models With E…
Agents attempt to maximize expected profits earned by selling multiple units of a perishable product where their revenue streams are affected by the prices they quote as well as the distribution of other prices quoted in the market by other…
This article studies the problem of utility maximization in an incomplete market under a class of nonlinear expectations and general constraints on trading strategies. Using a $g$-martingale method, we provide an explicit solution to our…
We study equilibrium feedback strategies for a family of dynamic mean-variance problems with competition among a large group of agents. We assume that the time horizon is random and each agent's risk aversion depends dynamically on the…
We study optimal portfolio choice models in markets with partial information about the stock's drift. We solve the single agent problem for general utilities using a new approach that yields regularity of the value function and closed form…
Prediction markets are long known for prediction accuracy. This study systematically explores the fundamental properties of prediction markets, addressing questions about their information aggregation process and the factors contributing to…
This paper studies the utility maximization problem of an agent with non-trivial endowment, and whose preferences are modeled by the maximal subsolution of a BSDE. We prove existence of an optimal trading strategy and relate our existence…
We establish an existence of equilibrium result for a class of non-Markovian mean-field games with unbounded control space in weak formulation. Our result is based on new existence and stability results for quadratic-growth generalized…
We study a continuous-time portfolio choice problem for an investor whose state-dependent preferences are determined by an exogenous factor that evolves as an It\^o diffusion process. Since risk attitudes at the end of the investment…
We develop an axiomatic theory for Automated Market Makers (AMMs) in local energy sharing markets and analyze the Markov Perfect Equilibrium of the resulting economy with a Mean-Field Game. In this game, heterogeneous prosumers solve a…
Bielecki and Rutkowski (2014) introduced and studied a generic nonlinear market model, which includes several risky assets, multiple funding accounts and margin accounts. In this paper, we examine the pricing and hedging of contract both…
In this paper, we study a class of risk-sensitive mean-field stochastic differential games. We show that under appropriate regularity conditions, the mean-field value of the stochastic differential game with exponentiated integral cost…
We consider a market where a finite number of players trade an asset whose supply is a stochastic process. The price formation problem consists of finding a price process that ensures that when agents act optimally to minimize their trading…
We investigate the existence of an optimal policy to monitor a mean field systems of agents managing a risky project under moral hazard with accidents modeled by L\'evy processes magnified by the law of the project. We provide a general…
Mean-field games arise in various fields including economics, engineering, and machine learning. They study strategic decision making in large populations where the individuals interact via certain mean-field quantities. The ground metrics…
There are several aspects of data markets that distinguish them from a typical commodity market: asymmetric information, the non-rivalrous nature of data, and informational externalities. Formally, this gives rise to a new class of games…
This paper investigates a class of unified stochastic linear quadratic Gaussian (LQG) social optima problems involving a large number of weakly-coupled interactive agents under a {generalized} setting. For each individual agent, the control…
In this paper, we consider the problem of optimal investment by an insurer. The insurer invests in a market consisting of a bank account and $m$ risky assets. The mean returns and volatilities of the risky assets depend nonlinearly on…
Bielecki and Rutkowski (2014) introduced and studied a generic nonlinear market model, which includes several risky assets, multiple funding accounts and margin accounts. In this paper, we examine the pricing and hedging of contract both…
We provide a stochastic analysis of an overlapping-generations model under incomplete markets. By casting individual optimisation with idiosyncratic income risk into a forward-backward stochastic differential equation (FBSDE) system, we (i)…
We study the Pontryagin maximum principle by deriving necessary and sufficient conditions for a class of optimal control problems arising in non exchangeable mean field systems, where agents interact through heterogeneous and asymmetric…