论文标题
连续时间资产市场游戏，资产短
A continuous-time asset market game with short-lived assets
论文作者
论文摘要
我们考虑具有短寿命资产和内源性资产价格的投资市场的连续时间游戏理论模型。本文的第一个目标是制定一个随机方程，该方程决定了投资者的财富过程，并为其解决方案的存在提供条件。第二个目标是表明存在一种战略，使使用它的投资者相对财富的对数是一个迅速的策略，无论其他投资者的策略如何，以及任何其他本质上不同策略的相对财富逐渐消失。该策略可以被视为模型中最佳的增长组合。
We consider a continuous-time game-theoretic model of an investment market with short-lived assets and endogenous asset prices. The first goal of the paper is to formulate a stochastic equation which determines wealth processes of investors and to provide conditions for the existence of its solution. The second goal is to show that there exists a strategy such that the logarithm of the relative wealth of an investor who uses it is a submartingale regardless of the strategies of the other investors, and the relative wealth of any other essentially different strategy vanishes asymptotically. This strategy can be considered as an optimal growth portfolio in the model.
