4 papers
Heterogenous Macro-Finance Model: A Mean-field Game Approach
Hoang Vu, Tomoyuki Ichiba
We investigate the full dynamics of capital allocation and wealth distribution of heterogeneous agents in a frictional economy during booms and busts using tools from mean-field ga…
Finding the nonnegative minimal solutions of Cauchy PDEs in a volatility-stabilized market
Nicole Tianjiao Yang, Tomoyuki Ichiba
The strong relative arbitrage problem in Stochastic Portfolio Theory seeks an investment strategy that almost surely outperforms a benchmark portfolio at the end of a given time ho…
Rank-based stochastic differential inclusions and diffusion limits for a load balancing model
Rami Atar, Tomoyuki Ichiba
In an earlier paper, a randomized load balancing model was studied in a heavy traffic asymptotic regime where the load balancing stream is thin compared to the total arrival stream…
Relative Arbitrage Opportunities in an Extended Mean Field System
Nicole Tianjiao Yang, Tomoyuki Ichiba
This paper studies relative arbitrage opportunities in a market with competitive investors through stochastic differential games in the limit as the number of players tends to infi…