3 papers
math.OC2024
Optimal consumption and investment under relative performance criteria with Epstein-Zin utility
Jodi Dianetti, Frank Riedel, Lorenzo Stanca
We consider the strategic interaction of traders in a continuous-time financial market with Epstein-Zin-type recursive intertemporal preferences and performance concerns. We derive…
math.OC2024
Multiple equilibria in mean-field game models for large oligopolies with strategic complementarities
Jodi Dianetti, Salvatore Federico, Giorgio Ferrari +1
We consider continuous-time mean-field stochastic games with strategic complementarities. The interaction between the representative productive firm and the population of rivals co…
math.OC2023
Linear-quadratic-singular stochastic differential games and applications
Jodi Dianetti
We consider a class of non-cooperative N-player non-zero-sum stochastic differential games with singular controls, in which each player can affect a linear stochastic differential…