Mean Field Games of Timing and Models for Bank Runs
By René A. Carmona, François Delarue, Daniel Lacker. Applied Mathematics and Optimization, 2016
95 citations recorded by the source corpus.
The goal of the paper is to introduce a set of problems which we call mean field games of timing. We motivate the formulation by a dynamic model of bank run in a continuous-time setting. We briefly review the economic and game theoretic contributions at the root of our effort, and we develop a mathematical theory for continuous-time stochastic games where the strategic decisions of the players are merely choices of times at which they leave the game, and the interaction between the strategic players is of a mean field nature.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/4e56a14a354c5aa414d666d74eb1eb47dbb08be7
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Citations in the corpus
- Optimal stopping in mean field games, an obstacle problem approach (2017, background): “16OPTIMAL STOPPING IN MEAN FIELD GAMES, AN OBSTACLE PROBLEM APPROACH The notion of mixed solutions of MFG we just presented is highly related to the notion of weak solutions which is introduced in [12].”
- Some remarks on mean field games (2018, unknown): “[3, 26, 16] or impulse control [4] for instance.”