Interbank lending with benchmark rates: Pareto optima for a class of singular control games

DOI10.1111/mafi.12325zbMath1522.91297arXiv2005.05766OpenAlexW3178291416MaRDI QIDQ6054384

Xin Guo, Rama Cont, Renyuan Xu

Publication date: 28 September 2023

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2005.05766

zbMATH Keywords

Nash equilibriumSkorokhod problemstochastic differential gamesingular stochastic controlinterbank marketsPareto optimumLIBOR rate

Mathematics Subject Classification ID

Stochastic games, stochastic differential games (91A15) Financial networks (including contagion, systemic risk, regulation) (91G45) Singular stochastic partial differential equations (60H17)

Related Items (3)

Saddle-point equilibrium for Hurwicz model considering zero-sum differential game of uncertain dynamical systems with jump ⋮ Multidimensional singular control and related Skorokhod problem: sufficient conditions for the characterization of optimal controls ⋮ Dynamics of market making algorithms in dealer markets: Learning and tacit collusion

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