Systemic risk and interbank lending
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Publication:1626503
DOI10.1007/s10957-017-1185-1zbMath1418.91640arXiv1611.06672OpenAlexW2557046486MaRDI QIDQ1626503
Publication date: 27 November 2018
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1611.06672
linear quadratic regulatorNash equilibriumstochastic gamesystemic riskmean field gameFeller diffusioninter lending system
Games with infinitely many players (91A07) Stochastic games, stochastic differential games (91A15) Actuarial science and mathematical finance (91G99)
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