Related papers: Systemic Risk and Interbank Lending
We consider stochastic differential games with $N$ players, linear-Gaussian dynamics in arbitrary state-space dimension, and long-time-average cost with quadratic running cost. Admissible controls are feedbacks for which the system is…
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…
In this paper, we formulate an evolutionary multiple access channel game with continuous-variable actions and coupled rate constraints. We characterize Nash equilibria of the game and show that the pure Nash equilibria are Pareto optimal…
We study a mean field optimal control problem with general non-Markovian dynamics, including both common noise and jumps. We show that its minimizers are Nash equilibria of an associated mean field game of controls. These types of games are…
In this paper, we study the non-linear diffusion equation associated with a particle system where the common drift depends on the rate of absorption of particles at a boundary. We provide an interpretation as a structural credit risk model…
We study nonzero-sum stochastic games for continuous time Markov decision processes on a denumerable state space with risk-sensitive ergodic cost criterion. Transition rates and cost rates are allowed to be unbounded. Under a Lyapunov type…
This paper presents an asset pricing model in an incomplete market involving a large number of heterogeneous agents based on the mean field game theory. In the model, we incorporate habit formation in consumption preferences, which has been…
The very notion of social network implies that linked individuals interact repeatedly with each other. This allows them not only to learn successful strategies and adapt to them, but also to condition their own behavior on the behavior of…
We consider a dynamical approach to sequential games. By restricting the convertibility relation over strategy profiles, we obtain a semi-potential (in the sense of Kukushkin), and we show that in finite games the corresponding restriction…
Systemic liquidity risk, defined by the IMF as "the risk of simultaneous liquidity difficulties at multiple financial institutions", is a key topic in macroprudential policy and financial stress analysis. Specialized models to simulate…
We study a model of selfish resource allocation that seeks to incorporate dependencies among resources as they exist in modern networked environments. Our model is inspired by utility functions with constant elasticity of substitution (CES)…
We propose a two-layer stochastic game model to study reinsurance contracting and competition in a market with one insurer and two competing reinsurers. The insurer negotiates with both reinsurers simultaneously for proportional reinsurance…
We consider the problem of governing systemic risk in a banking system model. The banking system model consists in an initial value problem for a system of stochastic differential equations whose dependent variables are the log-monetary…
We consider the basic problem of approximating Nash equilibria in noncooperative games. For monotone games, we design continuous time flows which converge in an averaged sense to Nash equilibria. We also study mean field equilibria, which…
We consider a simple model of a closed economic system where the total money is conserved and the number of economic agents is fixed. In analogy to statistical systems in equilibrium, money and the average money per economic agent are…
Zero-sum stochastic games have found important applications in a variety of fields, from machine learning to economics. Work on this model has primarily focused on the computation of Nash equilibrium due to its effectiveness in solving…
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…
In this paper the dependence of wealth distribution and the velocity of money on the required reserve ratio is examined based on a random transfer model of money and computer simulations. A fractional reserve banking system is introduced to…
This paper studies the equilibrium consumption under external habit formation in a large population of agents. We first formulate problems under two types of conventional habit formation preferences, namely linear and multiplicative…
Policy gradient methods enjoy strong practical performance in numerous tasks in reinforcement learning. Their theoretical understanding in multiagent settings, however, remains limited, especially beyond two-player competitive and potential…