Corpus ID: 219687721

Mean Field Exponential Utility Game: A Probabilistic Approach

@inproceedings{Fu2020MeanFE,
  title={Mean Field Exponential Utility Game: A Probabilistic Approach},
  author={G. Fu and Xizhi Su and Chao Zhou},
  year={2020}
}
  • G. Fu, Xizhi Su, Chao Zhou
  • Published 2020
  • Mathematics, Economics
  • 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… CONTINUE READING

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