Mean field games and systemic risk. Commun. Math. Sci., 13(4):911-933, 2015.Carmona R, Fouque JP, Sun LH (2015) Mean field games and systemic risk. Communications in Mathematical Sciences (4):911 - 933, URL http://www.pstat.ucsb.edu/faculty/fouque/PubliFM/ Carmona-Fouque-Sun-...
Carmona R, Delarue F, Lachapelle A (2013) Control of McKean-Vlasov dynamics versus mean field games. Math Fin Econ 7(2):131–166 Article MathSciNet MATH Google Scholar Carmona R, Fouque J-P, Sun L-H (2015) Mean field games and systemic risk. Commun Math Sci 13(4):911–933 Artic...
We formulate and analyze a mathematical framework for continuous-time mean field games with finitely many states and common noise, including a rigorous pro
Lions' analysis of mean-field games (2007) [10]. We derive HJB equations and apply them to two examples, a portfolio optimization and a systemic risk model. Résumé Pour les problèmes de contrôle stochastique à champs moyen, la programmation dynamique ne s'applique pas sans adaptation ...
We derive HJB equations and apply them to two examples, a portfolio optimization and a systemic risk model.doi:10.1016/J.CRMA.2014.07.008Mathieu LaurièreOlivier PironneauElsevier BVComptes Rendus MathematiqueM. Lauriere and O. Pironneau. Dynamic programming for mean-field type control. Comptes ...
摘要: In this article, we provide the first systemic study on discrete time partially observable mean field systems in the presence of a common noise. Each player makes decision solely based on the observab关键词: Common noise Discrete-time Mean field game Mean field type stochastic control ...
We also\nstudy the corresponding Mean Field Game in the limit of large number of banks\nin the presence of a common noise.doi:10.2139/SSRN.2307814Rene CarmonaJean-Pierre FouqueLi-Hsien SunarXiv.orgRene Carmona, Jean-Pierre Fouque, and Li-Hsien Sun. Mean field games and systemic risk. ...
Then we show that Bellman's principle applies to the dynamic programming value function V(τ, ρ_τ), where the dependency on ρ_τ is functional as in P.-L. Lions' analysis of mean-field games (2007) [10]. We derive HJB equations and apply them to two examples, a portfolio ...
Keywords Mean field games Jump measures Controlled martingale problem Relaxed controls Martingale measure Illiquid interbank market model 1. Introduction Mean field games (MFGs, henceforth) were introduced by Lasry and Lions in [32], [33], [34] and, independently, by Huang and co-authors in [24...
In this paper we consider a symmetric nonzero-sum stochastic differential game with jump-diffusion dynamics, where the interaction among the players is of mean-field type. Mean-field games (MFGs, henceforth) are optimization problems that were simultaneously introduced by Lasry and Lions in Lasry ...