Mean Field Games of Timing and Models for Bank Runs

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

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DC Field	Value	Language
dc.contributor.author	Carmona, Rene	-
dc.contributor.author	Delarue, F	-
dc.contributor.author	Lacker, D	-
dc.date.accessioned	2021-10-11T14:17:25Z	-
dc.date.available	2021-10-11T14:17:25Z	-
dc.date.issued	2017-08-01	en_US
dc.identifier.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	en_US
dc.identifier.issn	0095-4616	-
dc.identifier.uri	http://arks.princeton.edu/ark:/88435/pr1xk44	-
dc.description.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.	en_US
dc.format.extent	217 - 260	en_US
dc.language.iso	en_US	en_US
dc.relation.ispartof	Applied Mathematics and Optimization	en_US
dc.rights	Author's manuscript	en_US
dc.title	Mean Field Games of Timing and Models for Bank Runs	en_US
dc.type	Journal Article	en_US
dc.identifier.doi	doi:10.1007/s00245-017-9435-z	-
dc.identifier.eissn	1432-0606	-
pu.type.symplectic	http://www.symplectic.co.uk/publications/atom-terms/1.0/journal-article	en_US

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