相关论文: Deciding Bank Interest Rates -- A Major-Minor Impu…

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 define and study a lending game to model the interbank money market, in which lending banks strategically allocate their cash to borrowing banks. The interest rate offered by each borrowing bank is within the interest rate corridor set…

Financial markets and more generally macro-economic models involve a large number of individuals interacting through variables such as prices resulting from the aggregate behavior of all the agents. Mean field games have been introduced to…

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…

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…

This paper analyzes and explicitly solves a class of long-term average impulse control problems with a specific mean-field interaction. The underlying process is a general one-dimensional diffusion with appropriate boundary behavior. The…

We consider a mean-field model for large banking systems, which takes into account default and recovery of the institutions. Building on models used for groups of interacting neurons, we first study a McKean-Vlasov dynamics and its…

We study a family of mean field games with a state variable evolving as a multivariate jump diffusion process. The jump component is driven by a Poisson process with a time-dependent intensity function. All coefficients, i.e. drift,…

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…

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…

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…

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…

Mean-Field Games are games with a continuum of players that incorporate the time-dimension through a control-theoretic approach. Recently, simpler approaches relying on the Best Reply Strategy have been proposed. They assume that the agents…

Even when confronted with the same data, agents often disagree on a model of the real-world. Here, we address the question of how interacting heterogenous agents, who disagree on what model the real-world follows, optimize their trading…

We investigate mean-field games (MFG) in which agents can actively control their speed of access to information. Specifically, the agents can dynamically decide to obtain observations with reduced delay by accepting higher observation…

In this paper, we study a class of discrete-time mean-field games under the infinite-horizon risk-sensitive discounted-cost optimality criterion. Risk-sensitivity is introduced for each agent (player) via an exponential utility function. In…

We consider network aggregative games to model and study multi-agent populations in which each rational agent is influenced by the aggregate behavior of its neighbors, as specified by an underlying network. Specifically, we examine systems…

The recently developed mean-field game models of corruption and bot-net defence in cyber-security, the evolutionary game approach to inspection and corruption, and the pressure-resistance game element, can be combined under an extended…

We develop a convex analysis approach for solving LQG optimal control problems and apply it to major-minor (MM) LQG mean-field game (MFG) systems. The approach retrieves the best response strategies for the major agent and all minor agents…

We consider a large queueing system that consists of many strategic servers that are weakly interacting. Each server processes jobs from its unique critically loaded buffer and controls the rate of arrivals and departures associated with…