SURVIVAL INVESTMENT STRATEGIES IN A CONTINUOUS-TIME MARKET MODEL WITH COMPETITION

We consider a stochastic game-theoretic model of an investment market in continuous time with short-lived assets and study strategies, called survival, which guarantee that the relative wealth investor who uses such strategy remains bounded away from zero. The main results consist obtaining sufficient condition for to be survival showing all strategies are asymptotically close each other. It is also proved allows accumulate certain sense faster than competitors.