论文标题
在外部习惯形成下的平均野外游戏方法的平衡消耗方法
A mean field game approach to equilibrium consumption under external habit formation
论文作者
论文摘要
本文研究了大量药物的外部习惯形成下的平衡消耗。我们首先在平均野外游戏框架中首先在两种类型的常规习惯形成偏好（即线性和乘法外部习惯形成形成）下提出问题。在具有资产专业化的对数正常市场模型中，我们在每个问题中以分析形式的一个平均场平衡表征，从而使我们能够理解均衡策略的某些数量性能，并从平均场景的角度来看，消费习惯造成了一些财务影响。在N n代理的每个问题中，我们使用所获得的平均场平衡为N型nash平衡构建一个近似的NASH平衡，当N足够大。也可以获得每个问题中的明确收敛顺序。
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 formation preferences, namely linear and multiplicative external habit formation, in a mean field game framework. In a log-normal market model with the asset specialization, we characterize one mean field equilibrium in analytical form in each problem, allowing us to understand some quantitative properties of the equilibrium strategy and conclude some financial implications caused by consumption habits from a mean-field perspective. In each problem with n agents, we construct an approximate Nash equilibrium for the n-player game using the obtained mean field equilibrium when n is sufficiently large. The explicit convergence order in each problem can also be obtained.
