A mean field game approach to equilibrium consumption under external habit formation-Reference-Cited by-同舟云学术

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A mean field game approach to equilibrium consumption under external habit formation

Published:2024-12 Issue: Volume:178 Page:104461
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Bo Lijun^ORCID,Wang Shihua,Yu Xiang^ORCID

Publisher

Elsevier BV

Reference31 articles.

1. Habit formation: A resolution of the equity premium puzzle;Constantinides;J. Polit. Econ.,1990

2. Optimal consumption–portfolio policies with habit formation;Detemple;Math. Finance,1992

3. Utility maximization with habit formation: Dynamic programming and stochastic PDEs;Englezos;SIAM J. Control Optim.,2009

4. An isomorphism between asset pricing models with and without linear habit formation;Schroder;Rev. Financ. Stud.,2002

5. Utility maximization with addictive consumption habit formation in incomplete semimartingale markets;Yu;Ann. Appl. Probab.,2015

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