Optimal investment mean-field and N-player games with memory effect and relative performance competition

AbstractWe consider a financial market with memory effects in which wealth processes are driven by mean-field stochastic Volterra equations. In this financial market, the classical dynamic programming method can not be used to study the optimal investment problem, because the solution of mean-field stochastic Volterra equation is not a Markov process. In this paper, a new method through Malliavin calculus introduced in [1], can be used to obtain the optimal investment in a Volterra type financial market. We show a sufficient and necessary condition for the optimal investment in this financial market with memory by mean-field stochastic maximum principle.

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Mean field and n ‐agent games for optimal investment under relative performance criteria

Mathematical Finance ◽

10.1111/mafi.12206 ◽

2019 ◽

Vol 29 (4) ◽

pp. 1003-1038 ◽

Cited By ~ 1

Author(s):

Daniel Lacker ◽

Thaleia Zariphopoulou

Keyword(s):

Mean Field ◽

Optimal Investment ◽

Relative Performance ◽

Performance Criteria

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Design of Predistorter with Efficient Updating Algorithm of Power Amplifier with Memory Effect

IEICE Transactions on Electronics ◽

10.1587/transele.e95.c.382 ◽

2012 ◽

Vol E95-C (3) ◽

pp. 382-394

Author(s):

Yasuyuki OISHI ◽

Shigekazu KIMURA ◽

Eisuke FUKUDA ◽

Takeshi TAKANO ◽

Daisuke TAKAGO ◽

...

Keyword(s):

Memory Effect ◽

Power Amplifier ◽

With Memory

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Analysis and Dynamics of Fractional Order Covid-19 Model with Memory Effect

Results in Physics ◽

10.1016/j.rinp.2021.104017 ◽

2021 ◽

pp. 104017

Author(s):

Supriya Yadav ◽

Devendra Kumar ◽

Jagdev Singh ◽

Dumitru Baleanu

Keyword(s):

Memory Effect ◽

Fractional Order ◽

With Memory

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Research on Modeling Methods of Power Amplifier with Memory Effect in Broadband Communication

Applied Mechanics and Materials ◽

10.4028/www.scientific.net/amm.687-691.4060 ◽

2014 ◽

Vol 687-691 ◽

pp. 4060-4063

Author(s):

Lu Sun ◽

Long Long Xue ◽

Jia Li Wang ◽

Chun Yang Zhou

Keyword(s):

Memory Effect ◽

Power Amplifier ◽

Polynomial Model ◽

Behavioral Modeling ◽

Design System ◽

Behavioral Models ◽

Electric Characteristic ◽

Memory Polynomial ◽

With Memory ◽

Frequency Power

Memory effect of power amplifier (PA) due to broadband signals which adopt new modulation technique is becoming obvious, and worsening the linearity of PA. Behavioral modeling for RF (Radio Frequency) power amplifier is indispensable to design digital pre-distortion system by which we can promote the efficiency of PA. According to the simulation data in the software of ADS (Advanced Design System), behavioral models of MRF21085 amplifier can be established by MATLAB. Comparison of memory polynomial model and ADS simulation of MRF21085 amplifier demonstrate memory polynomial model can represent the electric characteristic of it exactly.

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Control of multi-scroll attractors in a memristor-coupled resonator via time-delayed feedback

Modern Physics Letters B ◽

10.1142/s0217984918503992 ◽

2018 ◽

Vol 32 (32) ◽

pp. 1850399 ◽

Cited By ~ 9

Author(s):

Zhilong Liu ◽

Fuqiang Wu ◽

Faris Alzahrani ◽

Jun Ma

Keyword(s):

Dynamical System ◽

Time Delay ◽

Magnetic Flux ◽

Memory Effect ◽

Delayed Feedback ◽

Feedback Gain ◽

Initial Setting ◽

Physical Background ◽

Time Delayed Feedback ◽

With Memory

A four-variable dynamical system composed of memristor is proposed to investigate the dependence of multi-scroll attractor on initial setting for one variable with memory, and the description for physical background is supplied. It is found that appropriate setting of initial values for the memory variable can induce different numbers of attractor, as a result, resetting initials can change the profile of attractors which is also dependent on the calculating period. Time-delayed feedback is used to stabilize the dynamical system thus the effect of initial dependence is suppressed and multi-scroll attractors are controlled by applying appropriate time delay and feedback gain in the controller. Furthermore, the system is verified on FPGA circuit platform and memristor is used to describe the memory effect of variable related to magnetic flux. It is confirmed that multi-scroll attractors can be stabilized and the dependence of initials setting is suppressed in experiment way.

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