Related papers: Large Banking Systems with Default and Recovery: A…

This paper presents a dynamic game framework to analyze the role of large banks in interbank markets. By extending existing models, we incorporate a large bank as a dynamic decision-maker interacting with multiple small banks. Using the…

We consider a dynamic model of interconnected banks. New banks can emerge, and existing banks can default, creating a birth-and-death setup. Microscopically, banks evolve as independent geometric Brownian motions. Systemic effects are…

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…

We propose a simple model of inter-bank borrowing and lending where the evolution of the log-monetary reserves of $N$ banks is described by a system of diffusion processes coupled through their drifts in such a way that stability of the…

We study the impact of regulatory capital constraints on fire sales and financial stability in a large banking system using a mean field game model. In our model banks adjust their holdings of a risky asset via trading strategies with…

In this paper, we address linear-quadratic-Gaussian (LQG) risk-sensitive mean field games (MFGs) with common noise. In this framework agents are exposed to a common noise and aim to minimize an exponential cost functional that reflects…

We propose a simple model of the banking system incorporating a game feature where the evolution of monetary reserve is modeled as a system of coupled Feller diffusions. The Markov Nash equilibrium generated through minimizing the linear…

In this paper, we study the $extended$ mean field control problem, which is a class of McKean-Vlasov stochastic control problem where the state dynamics and the reward functions depend upon the joint (conditional) distribution of the…

This paper studies the optimal investment behavior of renewable electricity producers in a competitive market, where both prices and installation costs are influenced by aggregate industry activity. We model the resulting crowding effects…

We propose a mean field control game model for the intra-and-inter-bank borrowing and lending problem. This framework allows to study the competitive game arising between groups of collaborative banks. The solution is provided in terms of…

Deciding bank interest rates has been a long-standing challenge in finance. It is crucial to ensure that the selected rates balance market share and profitability. However, traditional approaches typically focus on the interest rate changes…

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…

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…

Motivated by the study of a Mean Field Game toy model called the "seminar problem", we consider the Fokker-Planck equation in the small noise regime for a specific drift field. This gives us the opportunity to discuss the application to…

In many stochastic games stemming from financial models, the environment evolves with latent factors and there may be common noise across agents' states. Two classic examples are: (i) multi-agent trading on electronic exchanges, and (ii)…

The mean-field game system is treated as an Euler Lagrange system corresponding to an optimal control problem governed by Fokker-Planck equation.

A stochastic treatment yielding to the derivation of a general Fokker-Planck equation is presented to model the slow convergence towards equilibrium of mean-field systems due to finite-N effects. The thermalization process involves notably…

Many real-world problems modeled by stochastic games have huge state and/or action spaces, leading to the well-known curse of dimensionality. The complexity of the analysis of large-scale systems is dramatically reduced by exploiting mean…

This paper is concerned with the problem of budget control in a large particle system modeled by stochastic differential equations involving hitting times, which arises from considerations of systemic risk in a regional financial network.…

In this paper we consider a mean field optimal control problem with an aggregation-diffusion constraint, where agents interact through a potential, in the presence of a Gaussian noise term. Our analysis focuses on a PDE system coupling a…