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Mean Field Games of Timing and Models for Bank Runs

Author(s): Carmona, Rene; Delarue, F; Lacker, D

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Abstract: 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 contributions at the root of our effort, and we develop a mathematical theory for continuous-time stochastic games where the strategic decisions of the players are merely choices of times at which they leave the game, and the interaction between the strategic players is of a mean field nature.
Publication Date: 1-Aug-2017
Citation: Carmona, R, Delarue, F, Lacker, D. (2017). Mean Field Games of Timing and Models for Bank Runs. Applied Mathematics and Optimization, 76 (1), 217 - 260. doi:10.1007/s00245-017-9435-z
DOI: doi:10.1007/s00245-017-9435-z
ISSN: 0095-4616
EISSN: 1432-0606
Pages: 217 - 260
Type of Material: Journal Article
Journal/Proceeding Title: Applied Mathematics and Optimization
Version: Author's manuscript

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