17 citations · 44 across the 15 of their papers we have counts for
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q-fin.MF2022★ 1 cited
A mean field game approach to equilibrium consumption under external habit formation
Lijun Bo, Shihua Wang, Xiang Yu
This paper studies the equilibrium consumption under external habit formation in a large population of agents. We first formulate problems under two types of conventional habit for…
q-fin.MF2021
Mean Field Game of Optimal Relative Investment with Jump Risk
Lijun Bo, Shihua Wang, Xiang Yu
This paper studies the n-player game and the mean field game under the CRRA relative performance on terminal wealth, in which the interaction occurs by peer competition. In the mod…
q-fin.MF2020
Optimal Consumption with Reference to Past Spending Maximum
Shuoqing Deng, Xun Li, Huyen Pham +1
This paper studies the infinite-horizon optimal consumption with a path-dependent reference under exponential utility. The performance is measured by the difference between the non…