Related papers: Mean Field Games and Systemic Risk
In the context of understanding the nature of the risk transformation process of the financial system we propose an iterative risk-trading game between several agents who build their trading strategies based on a general utility setting.…
We develop a robust linear-quadratic mean-field control framework for systemic risk under model uncertainty, in which a central bank jointly optimizes interest rate policy and supervisory monitoring intensity against adversarial…
We introduce a new mean-field game framework to analyze the impact of carbon pricing in a multi-sector economy with defaultable firms. Each sector produces a homogeneous good, with its price endogenously determined through market clearing.…
This work is mainly concerned with the so-called limit theory for mean-field games. Adopting the weak formulation paradigm put forward by Carmona and Lacker, we consider a fully non-Markovian setting allowing for drift control and…
The design of coherent and efficient policies to address infectious diseases and their consequences requires to model not only epidemics dynamics, but also individual behaviors, as the latter has a strong influence on the former. In our…
Pressure on ancillary reserves, i.e.frequency preserving, in power systems has significantly mounted due to the recent generalized increase of the fraction of (highly fluctuating) wind and solar energy sources in grid generation mixes. The…
The theory of mean field games aims at studying deterministic or stochastic differential games (Nash equilibria) as the number of agents tends to infinity. Since very few mean field games have explicit or semi-explicit solutions, numerical…
We propose a minimal model of the secured interbank network able to shed light on recent money markets puzzles. We find that excess liquidity emerges due to the interactions between the reserves and liquidity ratio constraints; the…
This paper investigates robust stochastic differential games among insurers under model uncertainty and stochastic volatility. The surplus processes of ambiguity-averse insurers (AAIs) are characterized by drifted Brownian motion with both…
We investigate a stochastic differential game in which a major player has a private information (the knowledge of a random variable), which she discloses through her control to a population of small players playing in a Nash Mean Field Game…
Coordinating communication and control is a key component in the stability and performance of networked multi-agent systems. While single user networked control systems have gained a lot of attention within this domain, in this work, we…
We consider a general class of nonzero-sum $N$-player stochastic games with impulse controls, where players control the underlying dynamics with discrete interventions. We adopt a verification approach and provide sufficient conditions for…
We propose a new model of the liquidity driven banking system focusing on overnight interbank loans. This significant branch of the interbank market is commonly neglected in the banking system modeling and systemic risk analysis. We…
We consider the spread of infectious diseases through a Mean Field Game version of a SIR compartmental model with social structure, in which individuals are grouped by their age class and interact together in different settings. In our game…
This paper addresses a class of network games played by dynamic agents using their outputs. Unlike most existing related works, the Nash equilibrium in this work is defined by functions of agent outputs instead of full agent states, which…
In a game theoretic framework, we study energy markets with a continuum of homogenous producers who produce energy from an exhaustible resource such as oil. Each producer simultaneously optimizes production rate that drives her revenues, as…
In this paper, we introduce discrete-time linear mean-field games subject to an infinite-horizon discounted-cost optimality criterion. The state space of a generic agent is a compact Borel space. At every time, each agent is randomly…
In this work, we present an application of the probabilistic weak formulation of mean field games (MFG) for modeling liquidity pools in a constant product automated market maker (AMM) protocol in the context of decentralized finance. Our…
We consider a class of mean field games in which the agents interact through both their states and controls, and we focus on situations in which a generic agent tries to adjust her speed (control) to an average speed (the average is made in…
In this work, we systematically investigate mean field games and mean field type control problems with multiple populations using a coupled system of forward-backward stochastic differential equations of McKean-Vlasov type stemming from…