Mean field games with controlled jump-diffusion dynamics: existence results and an illiquid interbank market model

DOI10.1016/J.SPA.2020.07.004zbMath1458.91029arXiv1703.01919OpenAlexW3041197148MaRDI QIDQ2229568

Chiara Benazzoli, Luca Di Persio, Luciano Campi

Publication date: 18 February 2021

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1703.01919

zbMATH Keywords

martingale measuremean field gamesrelaxed controlscontrolled martingale problemilliquid interbank market modeljump measures

Mathematics Subject Classification ID

Applications of game theory (91A80) Mean field games (aspects of game theory) (91A16) Financial networks (including contagion, systemic risk, regulation) (91G45)

Related Items (5)

Extended Mean Field Games with Singular Controls ⋮ Well-posedness of density dependent SDE driven by \(\alpha \)-stable process with Hölder drifts ⋮ Superposition and mimicking theorems for conditional McKean-Vlasov equations ⋮ On fully nonlinear parabolic mean field games with nonlocal and local diffusions ⋮ Exponential ergodicity for SDEs and McKean-Vlasov processes with Lévy noise

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