Related papers: Systemic Risk and Interbank Lending
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We study discrete-time, finite-state mean-field games (MFGs) under model uncertainty, where agents face ambiguity about the state transition probabilities. Each agent maximizes its expected payoff against the worst-case transitions within…
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The model of this paper gives a convenient strategy that a bank in the federal funds market can use in order to maximize its profit in a contemporaneous reserve requirement (CRR) regime. The reserve requirements are determined by the demand…
We analyze a system of partial differential equations that model a potential mean field game of controls, briefly MFGC. Such a game describes the interaction of infinitely many negligible players competing to optimize a personal value…
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