Related papers: Mean Field Games and Systemic Risk
Mean-field games have been used as a theoretical tool to obtain an approximate Nash equilibrium for symmetric and anonymous $N$-player games. However, limiting applicability, existing theoretical results assume variations of a "population…
We investigate an SIR model of epidemic propagation on networks in the context of mean-field games. In a real epidemic, individuals adjust their behavior depending on the epidemic level and the impact it might have on them in the future.…
A modern version of Monetary Circuit Theory with a particular emphasis on stochastic underpinning mechanisms is developed. It is explained how money is created by the banking system as a whole and by individual banks. The role of central…
We consider the mean-field game where each agent determines the optimal time to exit the game by solving an optimal stopping problem with reward function depending on the density of the state processes of agents still present in the game.…
We formulate and solve a multi-player stochastic differential game between financial agents who seek to cost-efficiently liquidate their position in a risky asset in the presence of jointly aggregated transient price impact, along with…
This paper studies relative arbitrage opportunities in a market with competitive investors through stochastic differential games in the limit as the number of players tends to infinity. With common noises introduced by the stock…
Subject to reasonable conditions, in large population stochastic dynamics games, where the agents are coupled by the system's mean field (i.e. the state distribution of the generic agent) through their nonlinear dynamics and their nonlinear…
We investigate the convergence of symmetric stochastic differential games with interactions via control, where the volatility terms of both idiosyncratic and common noises are controlled. We apply the stochastic maximum principle, following…
We propose a game-theoretic model of the reliability of decentralised systems based on Varian's model of system reliability, to which we add a new normalised total effort case that models \textit{decentralisation conscious players} who…
This paper studies a systemic risk control problem by the central bank, which dynamically plans monetary supply to stabilize the interbank system with borrowing and lending activities. Facing both heterogeneity among banks and the common…
We introduce a simple class of mean field games with absorbing boundary over a finite time horizon. In the corresponding $N$-player games, the evolution of players' states is described by a system of weakly interacting It\^o equations with…
We formulate and analyze a multi-agent model for the evolution of individual and systemic risk in which the local agents interact with each other through a central agent who, in turn, is influenced by the mean field of the local agents. The…
The aim of this paper is to study first order Mean field games subject to a linear controlled dynamics on $\mathbb R^{d}$. For this kind of problems, we define Nash equilibria (called Mean Field Games equilibria), as Borel probability…
Mean-field game theory relies on approximating games that are intractable to model due to a very large to infinite population of players. While these kinds of games can be solved analytically via the associated system of partial…
Examining the behavior of multi-agent systems is vitally important to many emerging distributed applications - game theory has emerged as a powerful tool set in which to do so. The main approach of game-theoretic techniques is to model…
Mean field games (MFGs) describe the limit, as $n$ tends to infinity, of stochastic differential games with $n$ players interacting with one another through their common empirical distribution. Under suitable smoothness assumptions that…
We investigate a mean field game model for the production of exhaustible resources. In this model, firms produce comparable goods, strategically set their production rate in order to maximise profit, and leave the market as soon as they…
We introduce a new type of Mean Field Game epidemiological models, in which subpopulations have different behavioral patterns: some are viewed as "highly rational" (choosing Nash-equilibrium long-term strategies) while others follow…
In this work we introduce a model of default contagion that combines the approaches of Eisenberg-Noe interbank networks and dynamic mean field interactions. The proposed contagion mechanism provides an endogenous rule for early defaults in…
Given a large number of homogeneous players that are distributed across three possible states, we consider the problem in which these players have to control their transition rates, while minimizing a cost. The optimal transition rates are…