Search Results for author: Xuchen Zhou

Found 2 papers, 0 papers with code

A Deep Learning Method for Optimal Investment Under Relative Performance Criteria Among Heterogeneous Agents

no code implementations12 Feb 2024 Mathieu Laurière, Ludovic Tangpi, Xuchen Zhou

By passing to the limit, a game with a continuum of players is obtained, in which the interactions are through a graphon.

Optimal Investment in a Large Population of Competitive and Heterogeneous Agents

no code implementations23 Feb 2022 Ludovic Tangpi, Xuchen Zhou

This paper studies a stochastic utility maximization game under relative performance concerns in finite agent and infinite agent settings, where a continuum of agents interact through a graphon (see definition below).

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