3 papers
q-fin.MF2025
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…
q-fin.CP2025
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…
q-fin.MF2025
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…